A method for solving stochastic equations by reduced order models and local approximations
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Publication:2446964
DOI10.1016/j.jcp.2012.06.013zbMath1284.60138OpenAlexW2045386594MaRDI QIDQ2446964
Publication date: 23 April 2014
Published in: Journal of Computational Physics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jcp.2012.06.013
stochastic equationserror estimationMonte Carlo simulationTaylor expansionlocal approximationsapplied probabilityuncertainty quantificationrandom parametersstochastic reduced order models
Monte Carlo methods (65C05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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