| Abstract: | A numerical comparison of finite difference (FD) and finite element (FE)methods for a stochastic ordinary differential equation is made. The stochastic ordinarydifferential equation is turned into a set of ordinary differential equations by applyingpolynomial chaos, and the FD and FE methods are then implemented. The resulting numericalsolutions are all non-negative. When orthogonal polynomials are used for eithercontinuous or discrete processes, numerical experiments also show that the FE methodis more accurate and efficient than the FD method. |
