The Wiener--Askey Polynomial Chaos for Stochastic Differential Equations

DOI10.1137/S1064827501387826zbMath1014.65004OpenAlexW2018159038MaRDI QIDQ4785938

Dongbin Xiu, George Em. Karniadakis

Publication date: 5 January 2003

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s1064827501387826

zbMATH Keywords

orthogonal polynomialsnumerical examplesstochastic differential equationsMonte Carlo simulationsexponential convergencespectral methodsGalerkin projectionpolynomial chaosAskey scheme

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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