SDE Based Regression for Linear Random PDEs
From MaRDI portal
Publication:5275045
DOI10.1137/16M1060637zbMath1372.65012MaRDI QIDQ5275045
Martin Eigel, Christian Bayer, John G. M. Schoenmakers, Johannes Neumann, Felix Anker, Marcel Ladkau
Publication date: 7 July 2017
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Monte Carlo; stochastic differential equations; stochastic simulation; uncertainty quantification; partial differential equations with random coefficients; Feynman-Kac; stochastic regression; Euler-Maruyama; random PDE
65C05: Monte Carlo methods
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
65C30: Numerical solutions to stochastic differential and integral equations
Uses Software