A Numerical Comparison of Finite Difference and Finite Element Methods for a Stochastic Differential Equation with Polynomial Chaos. Issue 2 (28th May 2015)

• Record Type: Journal Article
• Authors: Li, Ning; Meng, Bo; Feng, Xinlong; Gui, Dongwei
• Is Part Of: East Asian journal on applied mathematics. Volume 5:Issue 2(2015)
• Page Start: 192
• Page End: 208
• Publication Date: 2015-05-28
• Subjects: Applied mathematics -- Periodicals; 519.05
• DOI: 10.4208/eajam.250714.020515a
• Languages: English
• ISSNs: 2079-7362

Abstract

<abstract abstract-type="normal"> <title>Abstract</title> <p>A numerical comparison of finite difference (FD) and finite element (FE) methods for a stochastic ordinary differential equation is made. The stochastic ordinary differential equation is turned into a set of ordinary differential equations by applying polynomial chaos, and the FD and FE methods are then implemented. The resulting numerical solutions are all non-negative. When orthogonal polynomials are used for either continuous or discrete processes, numerical experiments also show that the FE method is more accurate and efficient than the FD method.</p> </abstract>