High-Order Collocation Methods for Differential Equations with Random Inputs

DOI10.1137/040615201zbMath1091.65006OpenAlexW2143591652MaRDI QIDQ5470357

Dongbin Xiu, Jan S. Hesthaven

Publication date: 30 May 2006

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

Full work available at URL: http://infoscience.epfl.ch/record/190489

zbMATH Keywords

comparison of methodsnumerical examplesMonte Carlo methodsuncertainty quantificationstochastic inputsstochastic collocationsampling methodsstochastic Galerkin methods

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Spectral, collocation and related methods for boundary value problems involving PDEs (65N35) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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