A Recursive Sparse Grid Collocation Method for Differential Equations with White Noise

DOI10.1137/130938906zbMath1332.65015arXiv1310.5605OpenAlexW2004564211MaRDI QIDQ2930002

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Publication date: 17 November 2014

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1310.5605

zbMATH Keywords

numerical examplestochastic partial differential equationEuler schemestochastic collocationlong time integrationSmolyak's sparse grid

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) 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

• Smolpack