An adaptive hierarchical sparse grid collocation algorithm for the solution of stochastic differential equations (Q1013191)
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scientific article; zbMATH DE number 5544632
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An adaptive hierarchical sparse grid collocation algorithm for the solution of stochastic differential equations |
scientific article; zbMATH DE number 5544632 |
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An adaptive hierarchical sparse grid collocation algorithm for the solution of stochastic differential equations (English)
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17 April 2009
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collocation
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stochastic partial differential equations
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sparse grid
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hierarchical multiscale method
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adaptive sparse grid
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discontinuities
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Smolyak algorithm
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spectral stochastic finite element method
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convergence
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Monte Carlo method
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numerical examples
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random domain decomposition methods
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