Numerical solution of stochastic partial differential equations using a collocation method
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PDEs with randomness, stochastic partial differential equations (35R60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)
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Cites work
- An implicit Euler scheme with non-uniform time discretization for heat equations with multiplicative noise
- Approximation for semilinear stochastic evolution equations
- Convergence of numerical schemes for the solution of parabolic stochastic partial differential equations
- Convergence of the spectral method for stochastic Ginzburg-Landau equation driven by space-time white noise
- Difference Methods for Stochastic Partial Differential Equations
- Finite element and difference approximation of some linear stochastic partial differential equations
- Finite element methods for parabolic stochastic PDE's
- Full discretization of the stochastic Burgers equation with correlated noise
- Galerkin approximations for the stochastic Burgers equation
- Galerkin Finite Element Methods for Stochastic Parabolic Partial Differential Equations
- scientific article; zbMATH DE number 3984248 (Why is no real title available?)
- Numerical analysis of semilinear stochastic evolution equations in Banach spaces
- On discretization schemes for stochastic evolution equations
- On implicit and explicit discretization schemes for parabolic SPDEs in any dimension
- On the discretization in time of parabolic stochastic partial differential equations
- Overcoming the order barrier in the numerical approximation of stochastic partial differential equations with additive space-time noise
- Pathwise numerical approximations of SPDEs with additive noise under non-global Lipschitz coefficients
- Semidiscrete Galerkin approximation for a linear stochastic parabolic partial differential equation driven by an additive noise
- Spectral collocation method for stochastic Burgers equation driven by additive noise
- Stochastic Burgers' equation
Cited in
(17)- A fast discrete spectral method for stochastic partial differential equations
- Spectral collocation method for stochastic Burgers equation driven by additive noise
- The spectral collocation method for stochastic differential equations
- Numerical multi-scaling method to solve the linear stochastic partial differential equations
- Collocation methods for nonlinear stochastic Volterra integral equations
- Stochastic collocation and stochastic Galerkin methods for linear differential algebraic equations
- Numerical solution of time-dependent stochastic partial differential equations using RBF partition of unity collocation method based on finite difference
- A spectral-based numerical method for Kolmogorov equations in Hilbert spaces
- A spectral method for nonlinear stochastic partial differential equations of elliptic type
- Numerical solutions of stochastic Fisher equation to study migration and population behavior in biological invasion
- Convergence of a method based on the exponential integrator and Fourier spectral discretization for stiff stochastic PDEs
- Approximation of stochastic partial differential equations by a kernel-based collocation method
- An efficient spectral method for the numerical solution to some classes of stochastic differential equations
- A Stochastic Collocation Method for Delay Differential Equations with Random Input
- Convergence of a numerical scheme for SPDEs with correlated noise and global Lipschitz coefficients
- Numerical solution of kinetic SPDEs via stochastic Magnus expansion
- Numerical solution of stochastic models using spectral collocation method
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