A Dynamical Sparse Grid Collocation Method for Differential Equations Driven by White Noise

arXiv1706.03712MaRDI QIDQ6287772FDOQ6287772

Authors: Hasan Çağan Özen, Guillaume Bal 

Publication date: 12 June 2017

Abstract: We propose a sparse grid stochastic collocation method for long-time simulations of stochastic differential equations (SDEs) driven by white noise. The method uses pre-determined sparse quadrature rules for the forcing term and constructs evolving set of sparse quadrature rules for the solution variables in time. We carry out a restarting scheme to keep the dimension of random variables for the forcing term, therefore also the number of quadrature points, independent of time. At each restart, a sparse quadrature rule for the current solution variables is constructed based on the knowledge of moments and the previous quadrature rules via a minimization procedure. In this way, the method allows us to capture the long-time solutions accurately using small degrees of freedom. We apply the algorithm to low-dimensional nonlinear SDEs and demonstrate its capability in long-time simulations numerically.

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