A splitting/polynomial chaos expansion approach for stochastic evolution equations

被引：0
作者：
Andreas Kofler
Tijana Levajković
Hermann Mena
Alexander Ostermann
机构：
[1] Physikalisch-Technische Bundesanstalt,Institute of Stochastics and Business Mathematics
[2] Vienna University of Technology,Department of Mathematics
[3] Yachay Tech University,Department of Mathematics
[4] University of Innsbruck,undefined
来源：
Journal of Evolution Equations | 2021年 / 21卷
关键词：
Splitting methods; Analytic semigroups; Resolvent splitting; Polynomial chaos expansion; Fourier–Legendre polynomials; Wiener–Legendre expansion; 60H35; 65M75; 65J10; 60H40; 65M12; 11B83;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
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.
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页码：1345 / 1381
页数：36
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