Polynomial Propagation of Moments in Stochastic Differential Equations

DOI10.1137/21m1431497zbMath1515.65035arXiv2106.06271OpenAlexW4380875451MaRDI QIDQ6171191

Joaquín Míguez, A. López-Yela

Publication date: 17 July 2023

Published in: SIAM Journal on Applied Dynamical Systems (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2106.06271

zbMATH Keywords

density estimationpolynomial chaos expansionuncertainty propagationSDEmoment approximationGram-Charlier expansion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30) Approximation by polynomials (41A10) Series expansions (e.g., Taylor, Lidstone series, but not Fourier series) (41A58)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Can local particle filters beat the curse of dimensionality?
• Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients
• Multilevel sequential Monte Carlo samplers
• Finite element method to solve the spectral problem for arbitrary self-adjoint extensions of the Laplace-Beltrami operator on manifolds with a boundary
• Bounds on the constant in the mean central limit theorem
• The Rodrigues formula and polynomial differential operators
• The geometry of ill-conditioning
• The Fokker-Planck equation. Methods of solution and applications.
• On new identities for Bell's polynomials
• Stability of the drift-implicit and double-implicit Milstein schemes for nonlinear SDEs
• Fundamentals of astrodynamics and applications. With technical contributions by Wayne D. McClain.
• On the stability of sequential Monte Carlo methods in high dimensions
• The Pathwise Convergence of Approximation Schemes for Stochastic Differential Equations
• The Wiener--Askey Polynomial Chaos for Stochastic Differential Equations
• Variations on the Berry--Esseen Theorem
• A Lagged Particle Filter for Stable Filtering of Certain High-Dimensional State-Space Models
• Strong convergence rates for backward Euler–Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients
• The Mathematical Theory of Finite Element Methods
• Book Reviews
• Series approximation methods in statistics.
• Implicit Taylor methods for stiff stochastic differential equations

This page was built for publication: Polynomial Propagation of Moments in Stochastic Differential Equations