Spectral Element Methods for Stochastic Differential Equations with Additive Noise

DOI10.4208/JMS.V51N1.18.05zbMath1424.65005OpenAlexW2907422147WikidataQ128651536 ScholiaQ128651536MaRDI QIDQ5381736

Dongya Gu, Chao Zhang, Dongya Tao

Publication date: 21 June 2019

Published in: Journal of Mathematical Study (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4208/jms.v51n1.18.05

zbMATH Keywords

stochastic differential equationshigh accuracyspectral element methods

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Finite element, Rayleigh-Ritz, Galerkin and collocation methods for ordinary differential equations (65L60)

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