Wiener Chaos Versus Stochastic Collocation Methods for Linear Advection-Diffusion-Reaction Equations with Multiplicative White Noise

DOI10.1137/130932156zbMath1327.60133arXiv1505.03771OpenAlexW2008382870MaRDI QIDQ2946202

Zhongqiang Zhang, M. V. Tretyakov, George Em. Karniadakis, Boris L. Rosovskii

Publication date: 16 September 2015

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1505.03771

zbMATH Keywords

weak convergencespectral expansionmultiplicative white noiseWiener chaosWong-Zakai approximationadvection-diffusion-reaction equationsmultistage stochastic collocation method

Mathematics Subject Classification ID

White noise theory (60H40) 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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Logarithmic gradient transformation and chaos expansion of Itô processes ⋮ Output regulation control for switched stochastic delay systems with dissipative property under error-dependent switching ⋮ Certified offline-free reduced basis (COFRB) methods for stochastic differential equations driven by arbitrary types of noise ⋮ Numerical solutions of stochastic PDEs driven by arbitrary type of noise

Uses Software

• HRMSYM

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