SDE Based Regression for Linear Random PDEs
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Publication:5275045
DOI10.1137/16M1060637zbMath1372.65012OpenAlexW2731768645MaRDI QIDQ5275045
Marcel Ladkau, Felix Anker, Johannes Neumann, Christian Bayer, Martin Eigel, John G. M. Schoenmakers
Publication date: 7 July 2017
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/16m1060637
Monte Carlostochastic differential equationsstochastic simulationuncertainty quantificationpartial differential equations with random coefficientsFeynman-Kacstochastic regressionEuler-Maruyamarandom PDE
Monte Carlo methods (65C05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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Cites Work
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