Wiener chaos methods for linear stochastic advection-diffusion-reaction equations

Zhongqiang Zhang,George Em Karniadakis

doi:10.1007/978-3-319-57511-7_6

Wiener chaos methods for linear stochastic advection-diffusion-reaction equations

Zhongqiang Zhang, George Em Karniadakis

https://doi.org/10.1007/978-3-319-57511-7_6

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Publication Date: Jan 1, 2017

Affiliation: Worcester Polytechnic Institute, John Brown University

#Stochastic Partial Differential Equations #Parabolic Stochastic Partial Differential Equations + Show 8 more

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Abstract

In this chapter, we discuss numerical algorithms using Wiener chaos expansion (WCE) for solving second-order linear parabolic stochastic partial differential equations (SPDEs). The algorithm for computing moments of the SPDE solutions is deterministic, i.e., it does not involve any statistical errors from generating random numbers.

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