Nonlinear Stochastic PDEs: Analysis and Approximations
Technical Report,05 Dec 2012,04 Dec 2015
Brown University Providence United States
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We compare Wiener chaos and stochastic collocation methods for linear advection-reaction-diffusion stochastic PDEs with multiplicative white noise. Wiener chaos solutionsexpantions could be viewed as stochastic Fourier series. Both methods are constructed as a recursive multistage algorithms for long-time integration.
- Statistics and Probability