Stochastic Galerkin techniques for random ordinary differential equations

DOI10.1007/S00211-012-0466-8zbMATH Open1268.65006OpenAlexW2169128073MaRDI QIDQ1938428FDOQ1938428

F. Augustin, Peter Rentrop

Publication date: 4 February 2013

Published in: Numerische Mathematik (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00211-012-0466-8

zbMATH Keywords

convergencenumerical examplesRunge-Kutta methodstochastic Galerkin methodrandom ordinary differential equationsgeneralized Wiener expansion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) 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)

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Cited In (21)

• Stochastic collocation and stochastic Galerkin methods for linear differential algebraic equations
• Efficient stochastic Galerkin methods for Maxwell's equations with random inputs
• Wiener Calculus for Differential Equations with Uncertainties
• Controllability of Linear Differential-Algebraic Systems—A Survey
• On the application of Galerkin projection based polynomial chaos in linear systems and control
• Second order linear differential equations with analytic uncertainties: stochastic analysis via the computation of the probability density function
• Galerkin methods in dynamic stochastic programming
• Model order reduction for random nonlinear dynamical systems and low-dimensional representations for their quantities of interest
• Rosenbrock-W methods for stochastic Galerkin systems
• Faedo-Galerkin method for impulsive second-order stochastic integro-differential systems
• Note on coefficient matrices from stochastic Galerkin methods for random diffusion equations
• Sensitivity analysis and model order reduction for random linear dynamical systems
• Galerkin methods for linear and nonlinear elliptic stochastic partial differential equations
• Enforcing positivity in intrusive PC-UQ methods for reactive ODE systems
• Efficient iterative solvers for stochastic Galerkin discretizations of log-transformed random diffusion problems
• Solving stochastic optimal control problems by a Wiener chaos approach
• Polynomial Chaos Expansions for the Stability Analysis of Uncertain Delay Differential Equations
• An accuracy comparison of polynomial chaos type methods for the propagation of uncertainties
• Galerkin reduced-order modeling scheme for time-dependent randomly parametrized linear partial differential equations
• Stochastic Spectral Galerkin and Collocation Methods for PDEs with Random Coefficients: A Numerical Comparison
• Stability Preservation in Stochastic Galerkin Projections of Dynamical Systems

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