A splitting/polynomial chaos expansion approach for stochastic evolution equations
Numerical Analysis
2021-07-02 v1
Abstract
In this paper, we combine deterministic splitting methods with a polynomial chaos expansion method for solving stochastic parabolic evolution problems. The stochastic differential equation is reduced to a system of deterministic equations that we solve explicitly by splitting methods. The method can be applied to a wide class of problems where the related stochastic processes are given uniquely in terms of stochastic polynomials. A comprehensive convergence analysis is provided and numerical experiments validate our approach.
Cite
@article{arxiv.1903.10786,
title = {A splitting/polynomial chaos expansion approach for stochastic evolution equations},
author = {Andreas Kofler and Tijana Levajković and Hermann Mena and Alexander Ostermann},
journal= {arXiv preprint arXiv:1903.10786},
year = {2021}
}
Comments
28 pages, 3 figures, 1 table