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An adaptive hierarchical sparse grid collocation algorithm for the solution of stochastic differential equations

An adaptive hierarchical sparse grid collocation algorithm for the solution of stochastic differential equations. Nicholas Zabaras and Xiang Ma. Materials Process Design and Control Laboratory Sibley School of Mechanical and Aerospace Engineering 101 Frank H. T. Rhodes Hall Cornell University

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Polynomial chaos method - PowerPoint PPT Presentation

An adaptive hierarchical sparse grid collocation algorithm for the solution of stochastic differential equations