A Numerical Comparison of Finite Difference and Finite Element Methods for a Stochastic Differential Equation with Polynomial Chaos

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.