A splitting/polynomial chaos expansion approach for stochastic evolution equations
DOI10.1007/s00028-020-00627-5zbMath1470.60201arXiv1903.10786OpenAlexW3095140647MaRDI QIDQ2044634
Tijana Levajković, Andreas Kofler, Alexander Ostermann, Hermann Mena
Publication date: 10 August 2021
Published in: Journal of Evolution Equations (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1903.10786
analytic semigroupssplitting methodspolynomial chaos expansionFourier-Legendre polynomialsresolvent splittingWiener-Legendre expansion
Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) White noise theory (60H40) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical solutions to equations with linear operators (65J10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
Related Items
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The stochastic linear quadratic optimal control problem in Hilbert spaces: a polynomial chaos approach
- Error analysis of splitting methods for inhomogeneous evolution equations
- Stochastic partial differential equations. A modeling, white noise functional approach
- High order splitting methods for analytic semigroups exist
- Semigroups of linear operators and applications to partial differential equations
- Approximation of some stochastic differential equations by the splitting up method
- Weighted stochastic Sobolev spaces and bilinear SPDEs driven by space-time white noise
- On the splitting-up method and stochastic partial differential equations
- Stochastic processes and orthogonal polynomials
- Error bounds for exponential operator splittings
- A splitting algorithm for stochastic partial differential equations driven by linear multiplicative noise
- Exponential integrators for nonlinear Schrödinger equations with white noise dispersion
- Stochastic evolution equations with Wick-polynomial nonlinearities
- Modeling uncertainty in steady state diffusion problems via generalized polynomial chaos
- Some recent progress on stochastic heat equations
- The asymptotic error of chaos expansion approximations for stochastic differential equations
- Numerical solutions of stochastic PDEs driven by arbitrary type of noise
- Dimension splitting for evolution equations
- Wiener chaos solutions of linear stochastic evolution equations
- Wiener chaos expansions and numerical solutions of randomly forced equations of fluid mechanics
- Stochastic evolution equations with multiplicative noise
- On distribution free Skorokhod-Malliavin calculus
- Multiple Wiener integral
- The Wick--Malliavin Approximation of Elliptic Problems with Log-Normal Random Coefficients
- Modification of dimension-splitting methods—overcoming the order reduction due to corner singularities
- The Stochastic Linear Quadratic Control Problem with Singular Estimates
- Analysis of splitting methods for reaction-diffusion problems using stochastic calculus
- Exponential splitting for unbounded operators
- Spectral Methods for Uncertainty Quantification
- A hybrid collocation/Galerkin scheme for convective heat transfer problems with stochastic boundary conditions
- Nonlinear Filtering Revisited: A Spectral Approach
- Spectral Methods in MATLAB
- Galerkin Finite Element Approximations of Stochastic Elliptic Partial Differential Equations
- The Wiener--Askey Polynomial Chaos for Stochastic Differential Equations
- Time-Splitting Methods to Solve the Stochastic Incompressible Stokes Equation
- Approximation of Stochastic Nonlinear Equations of Schrödinger Type by the Splitting Method
- Analysis of exponential splitting methods for inhomogeneous parabolic equations
- Equations Involving Malliavin Calculus Operators
- On Convergence rate of Wiener-Ito expansion for generalized random variables
- Analytic semigroups and optimal regularity in parabolic problems
- Stochastic Equations in Infinite Dimensions
