Rigorous Analysis for Efficient Statistically Accurate Algorithms for Solving Fokker--Planck Equations in Large Dimensions

DOI10.1137/17M1142004zbMath1410.35244arXiv1709.05585MaRDI QIDQ4611515

Andrew J. Majda, Nan Chen, Xin Thomson Tong

Publication date: 21 January 2019

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1709.05585

zbMATH Keywords

Fokker-Planck equation; small sample size; hybrid strategy; high-dimensional non-Gaussian PDFs; long time persistence

Mathematics Subject Classification ID

65C05: Monte Carlo methods

93B05: Controllability

76F55: Statistical turbulence modeling

82C31: Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics

35R60: PDEs with randomness, stochastic partial differential equations

37C75: Stability theory for smooth dynamical systems

35Q84: Fokker-Planck equations