Global sensitivity analysis for models described by stochastic differential equations
DOI10.1007/s11009-019-09732-6zbMath1484.65011arXiv1811.08101OpenAlexW2963133204MaRDI QIDQ2195959
Pierre Étoré, Dang Khoi Pham, Long Li, Clémentine Prieur
Publication date: 28 August 2020
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1811.08101
stochastic differential equationspolynomial chaos expansionFeynman-Kac representationstochastic Galerkin projectionSobol' indices
Numerical solutions to stochastic differential and integral equations (65C30) Finite element, Rayleigh-Ritz, Galerkin and collocation methods for ordinary differential equations (65L60) Sensitivity analysis for optimization problems on manifolds (49Q12)
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Cites Work
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