Weighted Smolyak algorithm for solution of stochastic differential equations on non-uniform probability measures
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Publication:3018043
DOI10.1002/nme.3019zbMath1217.65009OpenAlexW2009077904MaRDI QIDQ3018043
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
stochastic differential equationssparse griduncertainty quantificationstochastic collocation methodSmolyak algorithmnon-uniform distributions
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