A Recursive Sparse Grid Collocation Method for Differential Equations with White Noise
Abstract
We consider a sparse grid collocation method in conjunction with a time discretization of the differential equations for computing expectations of functionals of solutions to differential equations perturbed by timedependent white noise. We first analyze the error of Smolyak's sparse grid collocation used to evaluate expectations of functionals of solutions to stochastic differential equations discretized by the Euler scheme. We show theoretically and numerically that this algorithm can have satisfactory accuracy for small magnitude of noise or small integration time, however it does not converge neither with decrease of the Euler scheme's time step size nor with increase of Smolyak's sparse grid level. Subsequently, we use this method as a building block for proposing a new algorithm by combining sparse grid collocation with a recursive procedure. This approach allows us to numerically integrate linear stochastic partial differential equations over longer times, which is illustrated in numerical tests on a stochastic advectiondiffusion equation.
 Publication:

arXiv eprints
 Pub Date:
 October 2013
 arXiv:
 arXiv:1310.5605
 Bibcode:
 2013arXiv1310.5605Z
 Keywords:

 Mathematics  Numerical Analysis;
 Mathematics  Probability;
 60H15 (Primary);
 35R60 (Secondary);
 60H40
 EPrint:
 It's a minor revision of the original version