Previous Articles    

NUMERICAL SOLUTIONS OF NONAUTONOMOUS STOCHASTIC DELAY DIFFERENTIAL EQUATIONS BY DISCONTINUOUS GALERKIN METHODS

Xinjie Dai1, Aiguo Xiao2   

  1. 1. School of Mathematics and Computational Science, Xiangtan University, Xiangtan 411105, China;
    2. School of Mathematics and Computational Science & Hunan Key Laboratory for Computation and Simulation in Science and Engineering, Xiangtan University, Xiangtan 411105, China
  • Received:2017-12-13 Revised:2018-05-14 Online:2019-05-15 Published:2019-05-15
  • Supported by:

    The authors would like to thank anonymous referees and editors for their helpful comments and suggestions, which greatly improved the quality of this paper. This research is supported by the National Natural Science Foundation of China (No. 11671343).

Xinjie Dai, Aiguo Xiao. NUMERICAL SOLUTIONS OF NONAUTONOMOUS STOCHASTIC DELAY DIFFERENTIAL EQUATIONS BY DISCONTINUOUS GALERKIN METHODS[J]. Journal of Computational Mathematics, 2019, 37(3): 419-436.

This paper considers a class of discontinuous Galerkin method, which is constructed by Wong-Zakai approximation with the orthonormal Fourier basis, for numerically solving nonautonomous Stratonovich stochastic delay differential equations. We prove that the discontinuous Galerkin scheme is strongly convergent, globally stable and analogously asymptotically stable in mean square sense. In addition, this method can be easily extended to solve nonautonomous Stratonovich stochastic pantograph differential equations. Numerical tests indicate that the method has first-order and half-order strong mean square convergence, when the diffusion term is without delay and with delay, respectively.

CLC Number: 

[1] Yong Liu, Chi-Wang Shu, Mengping Zhang. SUB-OPTIMAL CONVERGENCE OF DISCONTINUOUS GALERKIN METHODS WITH CENTRAL FLUXES FOR LINEAR HYPERBOLIC EQUATIONS WITH EVEN DEGREE POLYNOMIAL APPROXIMATIONS [J]. Journal of Computational Mathematics, 2021, 39(4): 518-537.
[2] Junming Duan, Huazhong Tang. AN EFFICIENT ADER DISCONTINUOUS GALERKIN SCHEME FOR DIRECTLY SOLVING HAMILTON-JACOBI EQUATION [J]. Journal of Computational Mathematics, 2020, 38(1): 58-83.
[3] Ruo Li, Pingbing Ming, Zhiyuan Sun, Fanyi Yang, Zhijian Yang. A DISCONTINUOUS GALERKIN METHOD BY PATCH RECONSTRUCTION FOR BIHARMONIC PROBLEM [J]. Journal of Computational Mathematics, 2019, 37(4): 524-540.
[4] Fei Wang, Tianyi Zhang, Weimin Han. C0 DISCONTINUOUS GALERKIN METHODS FOR A PLATE FRICTIONAL CONTACT PROBLEM [J]. Journal of Computational Mathematics, 2019, 37(2): 184-200.
[5] Fan Zhang, Tiegang Liu, Jian Cheng. HIGH ORDER STABLE MULTI-DOMAIN HYBRID RKDG AND WENO-FD METHODS [J]. Journal of Computational Mathematics, 2018, 36(4): 517-541.
[6] Yao Cheng, Qiang Zhang. LOCAL ANALYSIS OF THE FULLY DISCRETE LOCAL DISCONTINUOUS GALERKIN METHOD FOR THE TIME-DEPENDENT SINGULARLY PERTURBED PROBLEM [J]. Journal of Computational Mathematics, 2017, 35(3): 265-288.
[7] Mahboub Baccouch. OPTIMAL A POSTERIORI ERROR ESTIMATES OF THE LOCAL DISCONTINUOUS GALERKIN METHOD FOR CONVECTIONDIFFUSION PROBLEMS IN ONE SPACE DIMENSION [J]. Journal of Computational Mathematics, 2016, 34(5): 511-531.
[8] Ruihan Guo, Liangyue Ji, Yan Xu. HIGH ORDER LOCAL DISCONTINUOUS GALERKIN METHODS FOR THE ALLEN-CAHN EQUATION: ANALYSIS AND SIMULATION [J]. Journal of Computational Mathematics, 2016, 34(2): 135-158.
[9] Jian Cheng, Kun Wang, Tiegang Liu. A GENERAL HIGH-ORDER MULTI-DOMAIN HYBRID DG/WENO-FD METHOD FOR HYPERBOLIC CONSERVATION LAWS [J]. Journal of Computational Mathematics, 2016, 34(1): 30-48.
[10] Yang Yang, Chi-Wang Shu. ANALYSIS OF SHARP SUPERCONVERGENCE OF LOCAL DISCONTINUOUS GALERKIN METHOD FOR ONE-DIMENSIONAL LINEAR PARABOLIC EQUATIONS [J]. Journal of Computational Mathematics, 2015, 33(3): 323-340.
[11] Tianliang Hou, Yanping Chen. MIXED DISCONTINUOUS GALERKIN TIME-STEPPING METHOD FOR LINEAR PARABOLIC OPTIMAL CONTROL PROBLEMS [J]. Journal of Computational Mathematics, 2015, 33(2): 158-178.
[12] Yifeng Xu, Jianguo Huang, Xuehai Huang. A POSTERIORI ERROR ESTIMATES FOR LOCAL C0 DISCONTINUOUS GALERKIN METHODS FOR KIRCHHOFF PLATE BENDING PROBLEMS [J]. Journal of Computational Mathematics, 2014, 32(6): 665-686.
[13] Xiaobing Feng, Thomas Lewis. MIXED INTERIOR PENALTY DISCONTINUOUS GALERKIN METHODS FOR ONE-DIMENSIONAL FULLY NONLINEAR SECOND ORDER ELLIPTIC AND PARABOLIC EQUATIONS [J]. Journal of Computational Mathematics, 2014, 32(2): 107-135.
[14] Haijin Wang, Qiang Zhang. ERROR ESTIMATE ON A FULLY DISCRETE LOCAL DISCONTINUOUS GALERKIN METHOD FOR LINEAR CONVECTION-DIFFUSION PROBLEM [J]. Journal of Computational Mathematics, 2013, 31(3): 283-307.
[15] Tao Yu, Xingye Yue. EXPONENTIALLY FITTED LOCAL DISCONTINUOUS GALERKIN METHOD FOR CONVECTION-DIFFUSION PROBLEMS [J]. Journal of Computational Mathematics, 2012, 30(3): 298-310.
Viewed
Full text


Abstract