Recent developments in high order numerical methods for uncertainty quantification

DOI10.1360/N012014-00218zbMATH Open1499.65022OpenAlexW2490414674MaRDI QIDQ5018063FDOQ5018063

Authors:

Publication date: 17 December 2021

Published in: SCIENTIA SINICA Mathematica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1360/n012014-00218

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zbMATH Keywords

uncertainty quantificationcompressed sensingpolynomial approximationstochastic collocationforward backward stochastic differential equationsdiscrete least-squares projection

Mathematics Subject Classification ID

Computational methods for problems pertaining to probability theory (60-08) Approximation by polynomials (41A10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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