Wiener chaos versus stochastic collocation methods for linear advection-diffusion-reaction equations with multiplicative white noise

Zhang, Zhongqiang; Tretyakov, Mikhail; Rozovskii, Boris; Karniadakis, George E.

doi:10.1137/130932156

All Outputs (2)

New Langevin and gradient thermostats for rigid body dynamics (2015)
Journal Article
Davidchack, R. L., Tretyakov, M., & Ouldridge, T. E. (2015). New Langevin and gradient thermostats for rigid body dynamics. Journal of Chemical Physics, 142(14), doi:10.1063/1.4916312

Wiener chaos versus stochastic collocation methods for linear advection-diffusion-reaction equations with multiplicative white noise (2015)
Journal Article
Zhang, Z., Tretyakov, M., Rozovskii, B., & Karniadakis, G. E. (2015). Wiener chaos versus stochastic collocation methods for linear advection-diffusion-reaction equations with multiplicative white noise. SIAM Journal on Numerical Analysis, 53(1), doi:10.1137/130932156

We compare Wiener chaos and stochastic collocation methods for linear advection-reaction-diffusion equations with multiplicative white noise. Both methods are constructed based on a recursive multistage algorithm for long-time integration. We derive... Read More about Wiener chaos versus stochastic collocation methods for linear advection-diffusion-reaction equations with multiplicative white noise.