Publisher： Cambridge University Press
E-ISSN： 2079-7370|5|2|192-208
ISSN： 2079-7362
Source： East Asian Journal on Applied Mathematics, Vol.5, Iss.2, 2015-05, pp. : 192-208
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Abstract
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.
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