A splitting/polynomial chaos expansion approach for stochastic evolution equations

DOI10.1007/S00028-020-00627-5zbMATH Open1470.60201arXiv1903.10786OpenAlexW3095140647MaRDI QIDQ2044634FDOQ2044634

Authors: Andreas Kofler, Tijana Levajković, Hermann Mena, Alexander Ostermann 

Publication date: 10 August 2021

Published in: Journal of Evolution Equations (Search for Journal in Brave)

Abstract: In this paper, we combine deterministic splitting methods with a polynomial chaos expansion method for solving stochastic parabolic evolution problems. The stochastic differential equation is reduced to a system of deterministic equations that we solve explicitly by splitting methods. The method can be applied to a wide class of problems where the related stochastic processes are given uniquely in terms of stochastic polynomials. A comprehensive convergence analysis is provided and numerical experiments validate our approach.

Full work available at URL: https://arxiv.org/abs/1903.10786

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zbMATH Keywords

analytic semigroupspolynomial chaos expansionsplitting methodsFourier-Legendre polynomialsresolvent splittingWiener-Legendre expansion

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) White noise theory (60H40) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Numerical solutions to equations with linear operators (65J10)

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Cited In (9)

• A Multilevel Stochastic Collocation Method for Schrödinger Equations with a Random Potential
• Polynomial Chaos Expansion of Random Coefficients and the Solution of Stochastic Partial Differential Equations in the Tensor Train Format
• Chaos expansion methods for stochastic differential equations involving the Malliavin derivative, Part II
• A domain decomposition method for stochastic evolution equations
• Solution of a stochastic Darcy equation by polynomial chaos expansion
• Solution of stochastic nonlinear time fractional PDEs using polynomial chaos expansion combined with an exponential integrator
• Fourier-splitting method for solving hyperbolic LQR problems
• Adaptive Wick-Malliavin approximation to nonlinear SPDEs with discrete random variables
• Spectral polynomial chaos solutions of the stochastic advection equation

Uses Software

• Matlab

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