Publications in Scientific Journals:
A. Kofler, T. Levajković, H. Mena, A. Ostermann:
"A splitting/polynomial chaos expansion approach for stochastic evolution equations.";
Journal of Evolution Equations,
26
(2020),
37.
English 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.
Keywords:
Splitting methods, Analytic semigroups, Resolvent splitting, Polynomial chaos expansion, Fourier-Legendre polynomials, Wiener-Legendre expansion
"Official" electronic version of the publication (accessed through its Digital Object Identifier - DOI)
http://dx.doi.org/10.1007/s00028-020-00627-5
Electronic version of the publication:
https://publik.tuwien.ac.at/files/publik_291469.pdf
Created from the Publication Database of the Vienna University of Technology.