A Recursive Sparse Grid Collocation Method for Differential Equations with White Noise

DOI10.1137/130938906zbMATH Open1332.65015arXiv1310.5605OpenAlexW2004564211MaRDI QIDQ2930002FDOQ2930002

Author name not available (Why is that?)

Publication date: 17 November 2014

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Abstract: We consider a sparse grid collocation method in conjunction with a time discretization of the differential equations for computing expectations of functionals of solutions to differential equations perturbed by time-dependent white noise. We first analyze the error of Smolyak's sparse grid collocation used to evaluate expectations of functionals of solutions to stochastic differential equations discretized by the Euler scheme. We show theoretically and numerically that this algorithm can have satisfactory accuracy for small magnitude of noise or small integration time, however it does not converge neither with decrease of the Euler scheme's time step size nor with increase of Smolyak's sparse grid level. Subsequently, we use this method as a building block for proposing a new algorithm by combining sparse grid collocation with a recursive procedure. This approach allows us to numerically integrate linear stochastic partial differential equations over longer times, which is illustrated in numerical tests on a stochastic advection-diffusion equation.

Full work available at URL: https://arxiv.org/abs/1310.5605

zbMATH Keywords

Euler schemenumerical examplestochastic partial differential equationstochastic collocationlong time integrationSmolyak's sparse grid

Mathematics Subject Classification ID

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) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)

Cited In (5)

• Approximating Stochastic Evolution Equations with Additive White and Rough Noises
• Constructing Surrogate Models of Complex Systems with Enhanced Sparsity: Quantifying the Influence of Conformational Uncertainty in Biomolecular Solvation
• Numerical solutions of stochastic PDEs driven by arbitrary type of noise
• Semi-implicit integration factor methods on sparse grids for high-dimensional systems
• Numerical solutions of stochastic PDEs driven by Ornstein-Uhlenbeck noise

Uses Software

• Smolpack

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