A splitting/polynomial chaos expansion approach for stochastic evolution equations

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 ca...

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Veröffentlicht in:	Journal of evolution equations 2021-06, Vol.21 (2), p.1345-1381
Hauptverfasser:	Kofler, Andreas, Levajković, Tijana, Mena, Hermann, Ostermann, Alexander
Format:	Artikel
Sprache:	eng
Schlagworte:	Analysis Differential equations Evolution Mathematical analysis Mathematics Mathematics and Statistics Polynomials Splitting Stochastic processes
Online-Zugang:	Volltext
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