Global sensitivity analysis for models described by stochastic differential equations

DOI10.1007/s11009-019-09732-6zbMath1484.65011arXiv1811.08101MaRDI QIDQ2195959

Pierre Étoré, Dang Khoi Pham, Long Li, Clémentine Prieur

Publication date: 28 August 2020

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1811.08101

zbMATH Keywords

stochastic differential equations; polynomial chaos expansion; Feynman-Kac representation; stochastic Galerkin projection; Sobol' indices

Mathematics Subject Classification ID

65C30: Numerical solutions to stochastic differential and integral equations

65L60: Finite element, Rayleigh-Ritz, Galerkin and collocation methods for ordinary differential equations

49Q12: Sensitivity analysis for optimization problems on manifolds

Related Items

Sensitivity analysis for a fractional stochastic differential equation with \(S^p\)-weighted pseudo almost periodic coefficients and infinite delay

Cites Work

• Recent developments in spectral stochastic methods for the numerical solution of stochastic partial differential equations
• Global sensitivity analysis of stochastic computer models with joint metamodels
• The orthogonal development of non-linear functionals in series of Fourier-Hermite functionals
• Spectral Methods for Uncertainty Quantification
• Asymptotic Statistics
• Asymptotic normality and efficiency of two Sobol index estimators
• Nonintrusive Polynomial Chaos Expansions for Sensitivity Analysis in Stochastic Differential Equations
• Efficient Computation of Sobol' Indices for Stochastic Models
• Global sensitivity indices for nonlinear mathematical models and their Monte Carlo estimates
• Éléments finis: théorie, applications, mise en œuvre.
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