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On the convergence of generalized polynomial chaos expansions

Oliver G. Ernst, Antje Mugler, Hans-Jörg Starkloff, Elisabeth Ullmann (2012)

ESAIM: Mathematical Modelling and Numerical Analysis - Modélisation Mathématique et Analyse Numérique

A number of approaches for discretizing partial differential equations with random data are based on generalized polynomial chaos expansions of random variables. These constitute generalizations of the polynomial chaos expansions introduced by Norbert Wiener to expansions in polynomials orthogonal with respect to non-Gaussian probability measures. We present conditions on such measures which imply mean-square convergence of generalized polynomial chaos expansions to the correct limit and complement...

On the convergence of generalized polynomial chaos expansions

Oliver G. Ernst, Antje Mugler, Hans-Jörg Starkloff, Elisabeth Ullmann (2011)

ESAIM: Mathematical Modelling and Numerical Analysis

A number of approaches for discretizing partial differential equations with random data are based on generalized polynomial chaos expansions of random variables. These constitute generalizations of the polynomial chaos expansions introduced by Norbert Wiener to expansions in polynomials orthogonal with respect to non-Gaussian probability measures. We present conditions on such measures which imply mean-square convergence of generalized polynomial...

On the convergence rate of approximation schemes for Hamilton-Jacobi-Bellman equations

Guy Barles, Espen Robstad Jakobsen (2002)

ESAIM: Mathematical Modelling and Numerical Analysis - Modélisation Mathématique et Analyse Numérique

Using systematically a tricky idea of N.V. Krylov, we obtain general results on the rate of convergence of a certain class of monotone approximation schemes for stationary Hamilton-Jacobi-Bellman equations with variable coefficients. This result applies in particular to control schemes based on the dynamic programming principle and to finite difference schemes despite, here, we are not able to treat the most general case. General results have been obtained earlier by Krylov for finite difference...

On the convergence rate of approximation schemes for Hamilton-Jacobi-Bellman Equations

Guy Barles, Espen Robstad Jakobsen (2010)

ESAIM: Mathematical Modelling and Numerical Analysis

Using systematically a tricky idea of N.V. Krylov, we obtain general results on the rate of convergence of a certain class of monotone approximation schemes for stationary Hamilton-Jacobi-Bellman equations with variable coefficients. This result applies in particular to control schemes based on the dynamic programming principle and to finite difference schemes despite, here, we are not able to treat the most general case. General results have been obtained earlier by Krylov for finite...

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