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

DOI10.1016/j.jcp.2013.02.033zbMath1297.65008OpenAlexW2119334003MaRDI QIDQ401608

Mulin Cheng, Zhiwen Zhang, Thomas Yizhao 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 equations error analysis numerical experiment uncertainty quantification Karhunen-Loeve expansion reduced-order model bi-orthogonality

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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