Weighted Smolyak algorithm for solution of stochastic differential equations on non-uniform probability measures

DOI10.1002/nme.3019zbMath1217.65009MaRDI QIDQ3018043

Nitin Agarwal, N. R. Aluru

Publication date: 20 July 2011

Published in: International Journal for Numerical Methods in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/nme.3019

zbMATH Keywords

stochastic differential equations; sparse grid; uncertainty quantification; stochastic collocation method; Smolyak algorithm; non-uniform distributions

Mathematics Subject Classification ID

65C30: Numerical solutions to stochastic differential and integral equations

Related Items

Galerkin reduced-order modeling scheme for time-dependent randomly parametrized linear partial differential equations

Uses Software

• Spinterp

Cites Work

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