Nonintrusive Polynomial Chaos Expansions for Sensitivity Analysis in Stochastic Differential Equations.
M. Navarro JimenezOlivier P. Le MaîtreOmar M. KnioPublished in: SIAM/ASA J. Uncertain. Quantification (2017)
Keyphrases
- sensitivity analysis
- stochastic differential equations
- brownian motion
- maximum a posteriori estimation
- managerial insights
- variational inequalities
- fractional brownian motion
- sufficient conditions
- vector valued
- long range
- stochastic process
- additive gaussian noise
- poisson process
- multiscale
- differential equations
- higher order
- probability distribution