A proposed stochastic finite difference approach based on homogenous chaos expansion

DOI10.1155/2013/950469MaRDI QIDQ364595zbMATHOpenAlexDBLPWikidataFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 49187 (Why is no real title available?)
• scientific article; zbMATH DE number 1055961 (Why is no real title available?)
• Approximation of stochastic parabolic differential equations with two different finite difference schemes
• Numerical Solution of Partial Differential Equations
• On Numerical Approximations of Forward-Backward Stochastic Differential Equations
• Polynomial Chaos in Stochastic Finite Elements
• The Homogeneous Chaos
• The orthogonal development of non-linear functionals in series of Fourier-Hermite functionals

Cited in

(3)

• Propagation of probabilistic uncertainty in complex physical systems using a stochastic finite element approach
• Reaction-diffusion problems with stochastic parameters using the generalized stochastic finite difference method
• Stochastic finite element technique for stochastic one-dimensional time-dependent differential equations with random coefficients

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