Analysis and implementation issues for the numerical approximation of parabolic equations with random coefficients

DOI10.1002/nme.2656zbMath1176.76110OpenAlexW2002926750MaRDI QIDQ3649918

Fabio Nobile, Raúl Tempone

Publication date: 7 December 2009

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.2656

zbMATH Keywords

sparse gridsparabolic equationsMonte Carlo samplingmultivariate polynomial approximationPDEs with random dataSmolyak approximationPoint CollocationStochastic Collocation methodsStochastic Galerkin methods

Mathematics Subject Classification ID

Diffusion (76R50) Stochastic analysis applied to problems in fluid mechanics (76M35) Numerical solutions to stochastic differential and integral equations (65C30)

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