Wasserstein Sensitivity of Risk and Uncertainty Propagation

DOI10.1137/20M1325459zbMath1498.91503arXiv2003.03129OpenAlexW4292062187MaRDI QIDQ5097853

Björn Sprungk, Alois Pichler, Oliver G. Ernst

Publication date: 1 September 2022

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

Full work available at URL: https://arxiv.org/abs/2003.03129

zbMATH Keywords

sensitivity robustness diffusion equation risk measure Wasserstein distance total variation distance uncertainty propagation risk functional forward UQ

Mathematics Subject Classification ID

Random fields (60G60) Statistical methods; risk measures (91G70) PDEs with randomness, stochastic partial differential equations (35R60)

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