TY - JOUR
T1 - Spectral Element Methods for Stochastic Differential Equations with Additive Noise
AU - Zhang , Chao
AU - Gu , Dongya
AU - Tao , Dongya
JO - Journal of Mathematical Study
VL - 1
SP - 76
EP - 88
PY - 2018
DA - 2018/04
SN - 51
DO - http://doi.org/10.4208/jms.v51n1.18.05
UR - https://global-sci.org/intro/article_detail/jms/11316.html
KW - Stochastic differential equations, spectral element methods, high accuracy.
AB - <p style="text-align: justify;">In this paper, we propose numerical schemes for stochastic differential equations
driven by white noise and colored noise, respectively. For this purpose, we first
discretize the white noise and colored noise, and give their regularity estimates. Then
we use spectral element methods to solve the corresponding stochastic differential
equations numerically. The approximation errors are derived, and the numerical results
demonstrate high accuracy of the proposed schemes.</p>