Polynomial Propagation of Moments in Stochastic Differential Equations
DOI10.1137/21m1431497zbMath1515.65035arXiv2106.06271OpenAlexW4380875451MaRDI QIDQ6171191
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
density estimationpolynomial chaos expansionuncertainty propagationSDEmoment approximationGram-Charlier expansion
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)
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