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Constructing reliable approximations of the probability density function to the random heat PDE via a finite difference scheme

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Constructing reliable approximations of the probability density function to the random heat PDE via a finite difference scheme

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Calatayud, J.; Cortés, J.; Díaz, J.; Jornet, M. (2020). Constructing reliable approximations of the probability density function to the random heat PDE via a finite difference scheme. Applied Numerical Mathematics. 151:413-424. https://doi.org/10.1016/j.apnum.2020.01.012

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Metadatos del ítem

Título: Constructing reliable approximations of the probability density function to the random heat PDE via a finite difference scheme
Autor: Calatayud, J. Cortés, J.-C. Díaz, J.A. Jornet, M.
Entidad UPV: Universitat Politècnica de València. Departamento de Matemática Aplicada - Departament de Matemàtica Aplicada
Fecha difusión:
Resumen:
[EN] We study the random heat partial differential equation on a bounded domain assuming that the diffusion coefficient and the boundary conditions are random variables, and the initial condition is a stochastic process. ...[+]
Palabras clave: Uncertainty quantification , Random heat partial differential equation , Finite difference scheme , Probability density function , Numerical method
Derechos de uso: Reconocimiento - No comercial - Sin obra derivada (by-nc-nd)
Fuente:
Applied Numerical Mathematics. (issn: 0168-9274 )
DOI: 10.1016/j.apnum.2020.01.012
Editorial:
Elsevier
Versión del editor: https://doi.org/10.1016/j.apnum.2020.01.012
Código del Proyecto:
info:eu-repo/grantAgreement/AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2013-2016/MTM2017-89664-P/ES/PROBLEMAS DINAMICOS CON INCERTIDUMBRE SIMULABLE: MODELIZACION MATEMATICA, ANALISIS, COMPUTACION Y APLICACIONES/
Agradecimientos:
This work has been supported by the Spanish Ministerio de Economia y Competitividad grant MTM2017-89664-P. The co-author Marc Jornet acknowledges the doctorate scholarship granted by Programa de Ayudas de Investigacion y ...[+]
Tipo: Artículo

References

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Calatayud, J., Cortés, J.-C., & Jornet, M. (2018). The damped pendulum random differential equation: A comprehensive stochastic analysis via the computation of the probability density function. Physica A: Statistical Mechanics and its Applications, 512, 261-279. doi:10.1016/j.physa.2018.08.024

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