A proposed stochastic finite difference approach based on homogenous chaos expansion

DOI10.1155/2013/950469zbMATH Open1271.65015DBLPjournals/jam/Galal13OpenAlexW2036373581WikidataQ59007092 ScholiaQ59007092MaRDI QIDQ364595FDOQ364595

Authors: O. H. Galal 

Publication date: 9 September 2013

Published in: Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2013/950469

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Mathematics Subject Classification ID

PDEs with randomness, stochastic partial differential equations (35R60) Numerical solutions to stochastic differential and integral equations (65C30) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

Cites Work

• On Numerical Approximations of Forward-Backward Stochastic Differential Equations
• Title not available (Why is that?)
• Numerical Solution of Partial Differential Equations
• Polynomial Chaos in Stochastic Finite Elements
• The orthogonal development of non-linear functionals in series of Fourier-Hermite functionals
• Title not available (Why is that?)
• The Homogeneous Chaos
• Approximation of stochastic parabolic differential equations with two different finite difference schemes

Cited In (2)

• Stochastic finite element technique for stochastic one-dimensional time-dependent differential equations with random coefficients
• Propagation of probabilistic uncertainty in complex physical systems using a stochastic finite element approach

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