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Zeitschrift für Analysis und ihre Anwendungen


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Volume 15, Issue 4, 1996, pp. 901–916
DOI: 10.4171/ZAA/736

Published online: 1996-12-31

Approximation of Solutions of Stochastic Differential Equations by Discontinuous Galerkin Methods

Wilfried Grecksch[1] and A. Wadewitz[2]

(1) Universität Halle-Wittenberg, Germany
(2) Universität Halle-Wittenberg, Germany

The generalized solution of a system of Stratonovich equations is approximated by a discontinuous Galerkin method. A piecewise polynomial approximation is introduced. The convergence and error estimates are proved. The solution of Galerkin equations can be approximated by the solution of a system of equations with an inhomogeneous random part and the simulation of a stochastic integral.

Keywords: Approximation of solution of a stochastic differential equation, Stratonovzch integral, Galerkin method

Grecksch Wilfried, Wadewitz A.: Approximation of Solutions of Stochastic Differential Equations by Discontinuous Galerkin Methods. Z. Anal. Anwend. 15 (1996), 901-916. doi: 10.4171/ZAA/736