Nonintrusive Polynomial Chaos Expansions for Sensitivity Analysis in Stochastic Differential Equations (Q5269869): Difference between revisions

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scientific article; zbMATH DE number 6736508

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English	Nonintrusive Polynomial Chaos Expansions for Sensitivity Analysis in Stochastic Differential Equations	scientific article; zbMATH DE number 6736508

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instance of

scholarly article

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title

Nonintrusive Polynomial Chaos Expansions for Sensitivity Analysis in Stochastic Differential Equations (English)

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SIAM/ASA Journal on Uncertainty Quantification

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publication date

28 June 2017

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zbMATH Keywords

stochastic differential equations

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polynomial chaos expansions

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variance decomposition

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describes a project that uses

bootstrap

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MaRDI profile type

MaRDI publication profile

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cites work

Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics

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Mathematical epidemiology.

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Q4215355

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The orthogonal development of non-linear functionals in series of Fourier-Hermite functionals

0 references

Adaptive Smolyak Pseudospectral Approximations

0 references

Sparse pseudospectral approximation method

0 references

Monte Carlo algorithms for evaluating Sobol' sensitivity indices

0 references

Q4318617

0 references

Dimension-adaptive tensor-product quadrature

0 references

Q3959169

0 references

Sparse Quadrature as an Alternative to Monte Carlo for Stochastic Finite Element Techniques

0 references

Q3010640

0 references

Uncertainty propagation using Wiener-Haar expansions

0 references

Multi-resolution analysis of Wiener-type uncertainty propagation schemes

0 references

Spectral Methods for Uncertainty Quantification

0 references

A stochastic projection method for fluid flow. II: Random process

0 references

On Latin hypercube sampling

0 references

Lectures on Monte Carlo methods

0 references

Stochastic differential equations applied to the study of geophysical and financial time series

0 references

Uncertainty Quantification in CFD Simulations: A Stochastic Spectral Approach

0 references

A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code

0 references

Approximate Integration of Stochastic Differential Equations

0 references

A Sparse Grid Stochastic Collocation Method for Partial Differential Equations with Random Input Data

0 references

Uncertainty Quantification in MD Simulations. Part I: Forward Propagation

0 references

Uncertainty Quantification in MD Simulations. Part II: Bayesian Inference of Force-Field Parameters

0 references

Making best use of model evaluations to compute sensitivity indices

0 references

Sensitivity Analysis in Practice

0 references

Q5600030

0 references

Q4950363

0 references

Global sensitivity indices for nonlinear mathematical models and their Monte Carlo estimates

0 references

Runge-Kutta methods for numerical solution of stochastic differential equations

0 references

Adaptive Anisotropic Spectral Stochastic Methods for Uncertain Scalar Conservation Laws

0 references

Wong-Zakai approximations for stochastic differential equations

0 references

A computable evolution equation for the joint response-excitation probability density function of stochastic dynamical systems

0 references

Identifiers

zbMATH Open document ID

1367.60091

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DOI

10.1137/16M1061989

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5269869

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-Olivier P. Le Maître
@@ Property / author: Olivier P. Le Maître / rank @@
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+Olivier P. Le Maître
@@ Property / author: Olivier P. Le Maître / rank @@
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+bootstrap
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@@ Property / cites work @@
+Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
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@@ Property / cites work @@
+Mathematical epidemiology.
@@ Property / cites work: Mathematical epidemiology. / rank @@
+Normal rank
@@ Property / cites work @@
+Q4215355
@@ Property / cites work: Q4215355 / rank @@
+Normal rank
@@ Property / cites work @@
+The orthogonal development of non-linear functionals in series of Fourier-Hermite functionals
+Normal rank
@@ Property / cites work @@
+Adaptive Smolyak Pseudospectral Approximations
@@ Property / cites work: Adaptive Smolyak Pseudospectral Approximations / rank @@
+Normal rank
@@ Property / cites work @@
+Sparse pseudospectral approximation method
@@ Property / cites work: Sparse pseudospectral approximation method / rank @@
+Normal rank
@@ Property / cites work @@
+Monte Carlo algorithms for evaluating Sobol' sensitivity indices
+Normal rank
@@ Property / cites work @@
+Q4318617
@@ Property / cites work: Q4318617 / rank @@
+Normal rank
@@ Property / cites work @@
+Dimension-adaptive tensor-product quadrature
@@ Property / cites work: Dimension-adaptive tensor-product quadrature / rank @@
+Normal rank
@@ Property / cites work @@
+Q3959169
@@ Property / cites work: Q3959169 / rank @@
+Normal rank
@@ Property / cites work @@
+Sparse Quadrature as an Alternative to Monte Carlo for Stochastic Finite Element Techniques
+Normal rank
@@ Property / cites work @@
+Q3010640
@@ Property / cites work: Q3010640 / rank @@
+Normal rank
@@ Property / cites work @@
+Uncertainty propagation using Wiener-Haar expansions
+Normal rank
@@ Property / cites work @@
+Multi-resolution analysis of Wiener-type uncertainty propagation schemes
+Normal rank
@@ Property / cites work @@
+Spectral Methods for Uncertainty Quantification
@@ Property / cites work: Spectral Methods for Uncertainty Quantification / rank @@
+Normal rank
@@ Property / cites work @@
+A stochastic projection method for fluid flow. II: Random process
+Normal rank
@@ Property / cites work @@
+On Latin hypercube sampling
@@ Property / cites work: On Latin hypercube sampling / rank @@
+Normal rank
@@ Property / cites work @@
+Lectures on Monte Carlo methods
@@ Property / cites work: Lectures on Monte Carlo methods / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic differential equations applied to the study of geophysical and financial time series
+Normal rank
@@ Property / cites work @@
+Uncertainty Quantification in CFD Simulations: A Stochastic Spectral Approach
+Normal rank
@@ Property / cites work @@
+A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code
+Normal rank
@@ Property / cites work @@
+Approximate Integration of Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+A Sparse Grid Stochastic Collocation Method for Partial Differential Equations with Random Input Data
+Normal rank
@@ Property / cites work @@
+Uncertainty Quantification in MD Simulations. Part I: Forward Propagation
+Normal rank
@@ Property / cites work @@
+Uncertainty Quantification in MD Simulations. Part II: Bayesian Inference of Force-Field Parameters
+Normal rank
@@ Property / cites work @@
+Making best use of model evaluations to compute sensitivity indices
+Normal rank
@@ Property / cites work @@
+Sensitivity Analysis in Practice
@@ Property / cites work: Sensitivity Analysis in Practice / rank @@
+Normal rank
@@ Property / cites work @@
+Q5600030
@@ Property / cites work: Q5600030 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4950363
@@ Property / cites work: Q4950363 / rank @@
+Normal rank
@@ Property / cites work @@
+Global sensitivity indices for nonlinear mathematical models and their Monte Carlo estimates
+Normal rank
@@ Property / cites work @@
+Runge-Kutta methods for numerical solution of stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Adaptive Anisotropic Spectral Stochastic Methods for Uncertain Scalar Conservation Laws
+Normal rank
@@ Property / cites work @@
+Wong-Zakai approximations for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+A computable evolution equation for the joint response-excitation probability density function of stochastic dynamical systems
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:5269869