A Recursive Polynomial Chaos Evolution Method for Stochastic Differential Equations

MaRDI QIDQ7247441arXivFDO

Authors Guillaume Bal, Shengbo Ma, Su Zhang, Zhiwen Zhang

Publication date 2026

Published in arXiv

Mathematics Subject Classification ID

Approximation by polynomials (41A10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)

arXiv classification

math.NA

Cited in

(1)

• Derivative-Informed Dimension Reduction of Stochastic Differential Equations: A Path-Space Sensitivity Approach

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