Adaptive Wick--Malliavin Approximation to Nonlinear SPDEs with Discrete Random Variables

DOI10.1137/140975930zbMath1326.60099OpenAlexW1097074267MaRDI QIDQ5502087

Mengdi Zheng, Boris L. Rosovskii, George Em. Karniadakis

Publication date: 17 August 2015

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

Full work available at URL: https://semanticscholar.org/paper/1283db0ccf10b7b18e3f95171c771afaf2f5c5be

zbMATH Keywords

stochastic partial differential equationsMalliavin derivativediscrete stochastic processgeneral polynomial chaosadaptive Wick-Malliavin approximationWiener-Askey scheme

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Orthogonal polynomials and functions of hypergeometric type (Jacobi, Laguerre, Hermite, Askey scheme, etc.) (33C45) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (2)

Infinite-dimensional Lie algebras, representations, Hermitian duality and the operators of stochastic calculus ⋮ Numerical solutions of stochastic PDEs driven by arbitrary type of noise

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