A dynamically bi-orthogonal method for time-dependent stochastic partial differential equations. I: Derivation and algorithms

DOI10.1016/J.JCP.2013.02.033MaRDI QIDQ401608zbMATH OpenOpenAlexFDO

Authors Mulin Cheng, Zhiwen Zhang, Thomas Y. Hou

Publication date 27 August 2014

Published in Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jcp.2013.02.033

zbMATH Keywords

stochastic partial differential equationsuncertainty quantificationerror analysisnumerical experimentKarhunen-Loeve expansionbi-orthogonalityreduced-order model

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited in

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• Efficient uncertainty quantification of a fully nonlinear and dispersive water wave model with random inputs

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