An adaptive multi-element generalized polynomial chaos method for stochastic differential equations

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DOI10.1016/j.jcp.2005.03.023zbMath1078.65008OpenAlexW2139798157MaRDI QIDQ2485386

Xiaoliang Wan, George Em. Karniadakis

Publication date: 4 August 2005

Published in: Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jcp.2005.03.023

zbMATH Keywords

numerical results stochastic differential equations Uncertainty Polynomial chaos Discontinuities Kraichnan-Orszag system multi-element generalized polynomial chaos method stochastic advection-diffusion partial differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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