Numerical solutions of stochastic PDEs driven by arbitrary type of noise
From MaRDI portal
Publication:2328016
Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Stochastic integrals (60H05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)
Recommendations
- SPDEs driven by additive and multiplicative white noises: a numerical study
- Stochastic partial differential equations driven by Lévy space-time white noise.
- Linear SPDEs driven by stationary random distributions
- A dynamical polynomial chaos approach for long-time evolution of SPDEs
- A finite element approximation of linear stochastic PDEs driven by multiplicative white noise
Cites work
- scientific article; zbMATH DE number 3638903 (Why is no real title available?)
- scientific article; zbMATH DE number 2114382 (Why is no real title available?)
- scientific article; zbMATH DE number 936525 (Why is no real title available?)
- A multistage Wiener chaos expansion method for stochastic advection-diffusion-reaction equations
- A recursive sparse grid collocation method for differential equations with white noise
- A remark on the equivalence between Poisson and Gaussian stochastic partial differential equations
- Adaptive Wick-Malliavin approximation to nonlinear SPDEs with discrete random variables
- Linear Parabolic Stochastic PDE and Wiener Chaos
- MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES
- Modeling uncertainty in flow simulations via generalized polynomial chaos.
- Multiple Wiener integral
- Nonlinear Filtering Revisited: A Spectral Approach
- Numerical Challenges in the Use of Polynomial Chaos Representations for Stochastic Processes
- Numerical methods for stochastic computations. A spectral method approach.
- Numerical methods for stochastic partial differential equations with white noise
- On a Generalization of a Stochastic Integral
- On distribution free Skorokhod-Malliavin calculus
- On unbiased stochastic Navier-Stokes equations
- Passive scalar equation in a turbulent incompressible Gaussian velocity field
- Reduced basis methods for partial differential equations. An introduction
- Solving parabolic stochastic partial differential equations via averaging over characteristics
- Some basic hypergeometric orthogonal polynomials that generalize Jacobi polynomials
- Stochastic Burgers' equation
- Stochastic Differential Equations: A Wiener Chaos Approach
- Stochastic partial differential equations driven by purely spatial noise
- Supersensitivity due to uncertain boundary conditions
- The Evaluation of the Collision Matrix
- The Local Discontinuous Galerkin Method for Time-Dependent Convection-Diffusion Systems
- The Wick-Malliavin approximation of elliptic problems with log-normal random coefficients
- The Wiener--Askey Polynomial Chaos for Stochastic Differential Equations
- The orthogonal development of non-linear functionals in series of Fourier-Hermite functionals
- Wick–Malliavin approximation to nonlinear stochastic partial differential equations: analysis and simulations
- Wiener chaos expansions and numerical solutions of randomly forced equations of fluid mechanics
- Wiener chaos solutions of linear stochastic evolution equations
- Wiener chaos versus stochastic collocation methods for linear advection-diffusion-reaction equations with multiplicative white noise
Cited in
(12)- Numerical solutions of stochastic PDEs driven by Ornstein-Uhlenbeck noise
- Certified offline-free reduced basis (COFRB) methods for stochastic differential equations driven by arbitrary types of noise
- A numerical method for some stochastic differential equations with multiplicative noise
- SPDEs driven by additive and multiplicative white noises: a numerical study
- Numerical schemes for random ODEs with affine noise
- Numerical methods for SPDEs with tempered stable processes
- Solving SPDEs driven by colored noise: A chaos approach
- A local discontinuous Galerkin method for nonlinear parabolic SPDEs
- A splitting/polynomial chaos expansion approach for stochastic evolution equations
- Randomization of forcing in large systems of PDEs for improvement of energy estimates
- A numerical scheme for stochastic PDEs with Gevrey regularity
- Numerical solutions of stochastic differential equations with piecewise continuous arguments under Khasminskii-type conditions
This page was built for publication: Numerical solutions of stochastic PDEs driven by arbitrary type of noise
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2328016)
