Numerical solutions of stochastic PDEs driven by arbitrary type of noise

DOI10.1007/s40072-018-0120-2zbMath1475.60112OpenAlexW2808027564MaRDI QIDQ2328016

Chi-Wang Shu, Tianheng Chen, Boris L. Rosovskii

Publication date: 9 October 2019

Published in: Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40072-018-0120-2

zbMATH Keywords

distribution-freeWick productSkorokhod integralstochastic PDEstochastic polynomial chaos

Mathematics Subject Classification ID

Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)

Related Items

A local discontinuous Galerkin method for nonlinear parabolic SPDEs, Certified offline-free reduced basis (COFRB) methods for stochastic differential equations driven by arbitrary types of noise, A splitting/polynomial chaos expansion approach for stochastic evolution equations

Uses Software

• redbKIT

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