Stochastic Galerkin techniques for random ordinary differential equations
convergencegeneralized Wiener expansionnumerical examplesrandom ordinary differential equationsRunge-Kutta methodstochastic Galerkin method
Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for ordinary differential equations (65L20)
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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