Stochastic Galerkin techniques for random ordinary differential equations (Q1938428)
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scientific article; zbMATH DE number 6134323
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| English | Stochastic Galerkin techniques for random ordinary differential equations |
scientific article; zbMATH DE number 6134323 |
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Stochastic Galerkin techniques for random ordinary differential equations (English)
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4 February 2013
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The stochastic Galerkin method is introduced for solving systems of random ordinary differential equations. The idea is to develop a generalized Wiener expansion of the solution and coefficients in the truncated expansion solved by a weak Galerkin approach. The convergence is studied along with the behaviour of certain classes of Runge-Kutta methods applied to random ordinary differential equations. Some simple numerical tests are performed.
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random ordinary differential equations
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stochastic Galerkin method
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convergence
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numerical examples
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generalized Wiener expansion
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Runge-Kutta method
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0.8024120926856995
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0.7873559594154358
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0.7781554460525513
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0.7773224711418152
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0.7754990458488464
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