Adaptive Galerkin approximation algorithms for Kolmogorov equations in infinite dimensions

DOI10.1007/s40072-013-0002-6zbMath1286.35257OpenAlexW2038072692MaRDI QIDQ373235

Endre Süli, Christoph Schwab

Publication date: 22 October 2013

Published in: Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40072-013-0002-6

zbMATH Keywords

Galerkin approximationinfinite-dimensional Fokker-Planck equationinfinite-dimensional Kolmogorov equationquasioptimal convergenceWiener-Hermite polynomial chaos

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Numerical solutions to stochastic differential and integral equations (65C30) PDEs on infinite-dimensional (e.g., function) spaces (= PDEs in infinitely many variables) (35R15)

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