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Toward a Unified Multiresolution Scheme in the Combined Physical/Stochastic Space for Stochastic Differential Equations

hal.structure.identifierParallel tools for Numerical Algorithms and Resolution of essentially Hyperbolic problems [BACCHUS]
hal.structure.identifierInstitut de Mathématiques de Bordeaux [IMB]
dc.contributor.authorABGRALL, Remi
hal.structure.identifierParallel tools for Numerical Algorithms and Resolution of essentially Hyperbolic problems [BACCHUS]
dc.contributor.authorCONGEDO, Pietro Marco
hal.structure.identifierParallel tools for Numerical Algorithms and Resolution of essentially Hyperbolic problems [BACCHUS]
dc.contributor.authorGERACI, Gianluca
dc.date.accessioned2024-04-04T02:24:59Z
dc.date.available2024-04-04T02:24:59Z
dc.date.issued2012-06-18
dc.identifier.urihttps://oskar-bordeaux.fr/handle/20.500.12278/189852
dc.description.abstractEnIn the present work, an innovative method for solving stochastic partial differential equations is presented. A multiresolution method permitting to compute statistics of the quantity of interest for a whatever form of the probability density function is extended to permit an adaptation in both physical and stochastic spaces. The efficiency of this strategy, in terms of refinement/derefinement capabilities, is displayed for stochastic algebraic and differential equations with respect to other more classical techniques, like Monte Carlo (MC) and Polynomial Chaos (PC). Finally, the proposed strategy is applied to the heat equation, displaying very promising results in terms of accuracy, convergence and regularity.
dc.language.isoen
dc.title.enToward a Unified Multiresolution Scheme in the Combined Physical/Stochastic Space for Stochastic Differential Equations
dc.typeRapport
dc.subject.halPhysique [physics]/Physique [physics]/Dynamique des Fluides [physics.flu-dyn]
bordeaux.hal.laboratoriesInstitut de Mathématiques de Bordeaux (IMB) - UMR 5251*
bordeaux.institutionUniversité de Bordeaux
bordeaux.institutionBordeaux INP
bordeaux.institutionCNRS
bordeaux.type.institutionINRIA
bordeaux.type.reportrr
hal.identifierhal-00709466
hal.version1
hal.audienceNon spécifiée
hal.origin.linkhttps://hal.archives-ouvertes.fr//hal-00709466v1
bordeaux.COinSctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.date=2012-06-18&rft.au=ABGRALL,%20Remi&CONGEDO,%20Pietro%20Marco&GERACI,%20Gianluca&rft.genre=unknown


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