A splitting/polynomial chaos expansion approach for stochastic evolution equations
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 efficiently 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.
Año de publicación:
2021
Keywords:
- Polynomial chaos expansion
- Wiener–Legendre expansion
- Resolvent splitting
- splitting methods
- Fourier–Legendre polynomials
- Analytic semigroups
Fuente:

Tipo de documento:
Article
Estado:
Acceso restringido
Áreas de conocimiento:
- Proceso estocástico
- Optimización matemática
- Optimización matemática
Áreas temáticas de Dewey:
- Probabilidades y matemática aplicada
- Análisis numérico
- Análisis

Objetivos de Desarrollo Sostenible:
- ODS 9: Industria, innovación e infraestructura
- ODS 17: Alianzas para lograr los objetivos
- ODS 4: Educación de calidad
