Year: 2018
Author: Chao Zhang, Dongya Gu, Dongya Tao
Journal of Mathematical Study, Vol. 51 (2018), Iss. 1 : pp. 76–88
Abstract
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.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.4208/jms.v51n1.18.05
Journal of Mathematical Study, Vol. 51 (2018), Iss. 1 : pp. 76–88
Published online: 2018-01
AMS Subject Headings:
Copyright: COPYRIGHT: © Global Science Press
Pages: 13
Keywords: Stochastic differential equations spectral element methods high accuracy.