An adaptive hierarchical sparse grid collocation algorithm for the solution of stochastic differential equations

DOI10.1016/J.JCP.2009.01.006zbMath1161.65006OpenAlexW2096969866MaRDI QIDQ1013191

Xiang Ma, Nicholas Zabaras

Publication date: 17 April 2009

Published in: Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jcp.2009.01.006

zbMATH Keywords

convergencenumerical examplesstochastic partial differential equationsMonte Carlo methodsparse gridcollocationdiscontinuitiesSmolyak algorithmadaptive sparse gridhierarchical multiscale methodrandom domain decomposition methodsspectral stochastic finite element method

Mathematics Subject Classification ID

Multigrid methods; domain decomposition for boundary value problems involving PDEs (65N55) Spectral, collocation and related methods for boundary value problems involving PDEs (65N35) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Mesh generation, refinement, and adaptive methods for boundary value problems involving PDEs (65N50) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Solutions to PDEs in closed form (35C05)

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Uses Software

• Sparse Grid Interpolation
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Cites Work

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