Spectral Polynomial Chaos Solutions of the Stochastic Advection Equation

被引：69
|
作者：
Jardak, M. [1 ]
Su, C. -H. [1 ]
Karniadakis, G. E. [1 ]
机构：
[1] Brown Univ, Div Appl Math, Providence, RI 02912 USA
来源：
JOURNAL OF SCIENTIFIC COMPUTING | 2002年 / 17卷 / 1-4期
关键词：
Stochastic differential equations; Wiener-Hermite expansions; polynomial chaos; uncertainty;
D O I：
10.1023/A:1015125304044
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
We present a new algorithm based on Wiener-Hermite functionals combined with Fourier collocation to solve the advection equation with stochastic transport velocity. We develop different stategies of representing the stochastic input, and demonstrate that this approach is orders of magnitude more efficient than Monte Carlo simulations for comparable accuracy.
引用
收藏
页码：319 / 338
页数：20
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