Stochastic Galerkin techniques for random ordinary differential equations

DOI10.1007/s00211-012-0466-8zbMath1268.65006OpenAlexW2169128073MaRDI QIDQ1938428

Florian Augustin, Peter Rentrop

Publication date: 4 February 2013

Published in: Numerische Mathematik (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00211-012-0466-8

zbMATH Keywords

convergencenumerical examplesRunge-Kutta methodstochastic Galerkin methodrandom ordinary differential equationsgeneralized Wiener expansion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (11)

Wiener Calculus for Differential Equations with Uncertainties ⋮ Enforcing positivity in intrusive PC-UQ methods for reactive ODE systems ⋮ An accuracy comparison of polynomial chaos type methods for the propagation of uncertainties ⋮ Rosenbrock-W methods for stochastic Galerkin systems ⋮ Sensitivity analysis and model order reduction for random linear dynamical systems ⋮ Model order reduction for random nonlinear dynamical systems and low-dimensional representations for their quantities of interest ⋮ Controllability of Linear Differential-Algebraic Systems—A Survey ⋮ Solving stochastic optimal control problems by a Wiener chaos approach ⋮ Second order linear differential equations with analytic uncertainties: stochastic analysis via the computation of the probability density function ⋮ Stability Preservation in Stochastic Galerkin Projections of Dynamical Systems ⋮ Polynomial Chaos Expansions for the Stability Analysis of Uncertain Delay Differential Equations

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