Approximation of solutions of stochastic differential equations by discontinuous Galerkin methods

Zeitschrift für Analysis und ihre Anwendungen

Volumn 15, Issue 4, 1996, Pages 901-916

  Grecksch, W ^a  

^a MARTIN LUTHER UNIVERSITY HALLE WITTENBERG   (Germany)

Author keywords

Approximation of solution of a stochastic differential equation; Galerkin method; Stratonovich integral

Indexed keywords

EID: 25444473353     PISSN: 02322064     EISSN: None     Source Type: Journal    
DOI: 10.4171/ZAA/736     Document Type: Article

References (2)

1. Delfour, M. C. and F. Dubeau: Discontinuous polynomial approximation in the theory of one-step, hybrid and multistep methods for nonlinear ordinary differential equations. Math, of Comp. 47 (1986), 169 - 189.
2. Gichman, I. I. and A. V. Skorochod: Stochastic Differential Equations. Berlin et al.: Springer-Verlag 1972.