Dynamical Polynomial Chaos Expansions and Long Time Evolution of Differential Equations with Random Forcing

DOI10.1137/15M1019167zbMath1346.60108arXiv1505.00047MaRDI QIDQ5741194

Guillaume Bal, Hasan Çağan Özen

Publication date: 22 July 2016

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

Full work available at URL: https://arxiv.org/abs/1505.00047

zbMATH Keywords

stochastic differential equations; Markov processes; uncertainty quantification; polynomial chaos expansions

Mathematics Subject Classification ID

60J25: Continuous-time Markov processes on general state spaces

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60H25: Random operators and equations (aspects of stochastic analysis)

34F05: Ordinary differential equations and systems with randomness

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

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Uses Software

• OPQ

Cites Work

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