JournalszaaVol. 15, No. 4pp. 901–916

Approximation of Solutions of Stochastic Differential Equations by Discontinuous Galerkin Methods

  • Wilfried Grecksch

    Universität Halle-Wittenberg, Germany
  • A. Wadewitz

    Universität Halle-Wittenberg, Germany
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Abstract

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.

Cite this article

Wilfried Grecksch, A. Wadewitz, Approximation of Solutions of Stochastic Differential Equations by Discontinuous Galerkin Methods. Z. Anal. Anwend. 15 (1996), no. 4, pp. 901–916

DOI 10.4171/ZAA/736