Adaptive numerical solutions of stochastic differential equations

MaRDI QIDQ2895116zbMATH OpenFDO

Authors Xiaoliang Wan, George Em Karniadakis

Publication date 2 July 2012

Published in HERMIS-\(\mu\pi\). Hellenic European Research on Mathematics and Informatics Science (Search for Journal in Brave)

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited in

(24)

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• Beyond Wiener-Askey expansions: handling arbitrary PDFs
• Adaptive multi-element polynomial chaos with discrete measure: algorithms and application to SPDEs
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• Adaptive algorithm for stochastic Galerkin method.
• Polynomial chaos expansions for stiff random ODEs
• An adaptive WENO collocation method for differential equations with random coefficients
• Error control in multi-element generalized polynomial chaos method for elliptic problems with random coefficients
• On solution regularity of linear hyperbolic stochastic PDE using the method of characteristics.
• Adaptive preconditioning of linear stochastic algebraic systems of equations
• scientific article; zbMATH DE number 5049181 (Why is no real title available?)
• Adaptive Wick-Malliavin approximation to nonlinear SPDEs with discrete random variables
• Solution verification, goal-oriented adaptive methods for stochastic advection-diffusion problems
• The multi-element probabilistic collocation method (ME-PCM): Error analysis and applications
• Long-term behavior of polynomial chaos in stochastic flow simulations

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