Stochastic Galerkin techniques for random ordinary differential equations

Over the last decade the stochastic Galerkin method has become an established method to solve differential equations involving uncertain parameters. It is based on the generalized Wiener expansion of square integrable random variables. Although there exist very sophisticated variants of the stochast...

Full description

Saved in:
Bibliographic Details
Published in:Numerische Mathematik 2012-11, Vol.122 (3), p.399-419
Main Authors: Augustin, F., Rentrop, P.
Format: Article
Language:English
Subjects:
Mathematical and Computational Engineering
Mathematical and Computational Physics
Mathematical Methods in Physics
Mathematics
Mathematics and Statistics
Numerical Analysis
Numerical and Computational Physics
Simulation
Theoretical
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:Over the last decade the stochastic Galerkin method has become an established method to solve differential equations involving uncertain parameters. It is based on the generalized Wiener expansion of square integrable random variables. Although there exist very sophisticated variants of the stochastic Galerkin method (wavelet basis, multi-element approach) convergence for random ordinary differential equations has rarely been considered analytically. In this work we develop an asymptotic upper boundary for the L 2 -error of the stochastic Galerkin method. Furthermore, we prove convergence of a local application of the stochastic Galerkin method and confirm convergence of the multi-element approach within this context.
ISSN:0029-599X
0945-3245
DOI:10.1007/s00211-012-0466-8