Global sensitivity analysis for models described by stochastic differential equations

DOI10.1007/s11009-019-09732-6zbMath1484.65011arXiv1811.08101MaRDI QIDQ2195959

Clémentine Prieur, Long Li, Pierre Étoré, Dang Khoi Pham

Publication date: 28 August 2020

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1811.08101

zbMATH Keywords

stochastic differential equations; polynomial chaos expansion; Feynman-Kac representation; stochastic Galerkin projection; Sobol' indices

Mathematics Subject Classification ID

65C30: Numerical solutions to stochastic differential and integral equations

65L60: Finite element, Rayleigh-Ritz, Galerkin and collocation methods for ordinary differential equations

49Q12: Sensitivity analysis for optimization problems on manifolds