An adaptive high-dimensional stochastic model representation technique for the solution of stochastic partial differential equations

DOI10.1016/j.jcp.2010.01.033zbMath1189.65019OpenAlexW1974963628MaRDI QIDQ969458

Publication date: 7 May 2010

Published in: Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jcp.2010.01.033

zbMATH Keywords

numerical examples stochastic partial differential equations sparse grids high-dimensional model representation stochastic collocation method Monte Carlo (MC) simulation random heterogeneous media

Mathematics Subject Classification ID

Spectral, collocation and related methods for boundary value problems involving PDEs (65N35) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Uses Software

TESTPACK

Cites Work