Nonintrusive Polynomial Chaos Expansions for Sensitivity Analysis in Stochastic Differential Equations
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Publication:5269869
DOI10.1137/16M1061989zbMath1367.60091MaRDI QIDQ5269869
Omar M. Knio, M. Navarro Jimenez, Olivier P. Le Maître
Publication date: 28 June 2017
Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Algorithms for approximation of functions (65D15) Numerical quadrature and cubature formulas (65D32)
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