Spectral Methods for Multiscale Stochastic Differential Equations

DOI10.1137/16M1094117zbMath1398.65313arXiv1609.05097MaRDI QIDQ4636405

Assyr Abdulle, U. Vaes, Grigorios A. Pavliotis

Publication date: 19 April 2018

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1609.05097

zbMATH Keywords

stochastic partial differential equationshomogenization theorymultiscale methodsHermite spectral methodssingularly perturbed stochastic differential equationspectral methods for differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Spectral, collocation and related methods for boundary value problems involving PDEs (65N35) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical solutions to stochastic differential and integral equations (65C30)

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