An adaptive hierarchical sparse grid collocation algorithm for the solution of stochastic differential equations
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Publication:1013191
DOI10.1016/J.JCP.2009.01.006zbMATH Open1161.65006OpenAlexW2096969866MaRDI QIDQ1013191FDOQ1013191
Authors: Xiang Ma, Nicholas Zabaras 
Publication date: 17 April 2009
Published in: Journal of Computational Physics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jcp.2009.01.006
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stochastic partial differential equationsconvergencenumerical examplesMonte Carlo methodsparse gridcollocationdiscontinuitiesSmolyak algorithmadaptive sparse gridhierarchical multiscale methodrandom domain decomposition methodsspectral stochastic finite element method
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Multigrid methods; domain decomposition for boundary value problems involving PDEs (65N55) Solutions to PDEs in closed form (35C05) PDEs with randomness, stochastic partial differential equations (35R60) 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 boundary value problems involving PDEs (65N35) Mesh generation, refinement, and adaptive methods for boundary value problems involving PDEs (65N50)
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