Nonintrusive Polynomial Chaos Expansions for Sensitivity Analysis in Stochastic Differential Equations

M. Navarro Jimenez, Olivier P. Le MaƮtre, Omar M. Knio. Nonintrusive Polynomial Chaos Expansions for Sensitivity Analysis in Stochastic Differential Equations. SIAM/ASA J. Uncertain. Quantification, 5(1):378-402, 2017. [doi]

Abstract

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