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An anisotropic sparse grid stochastic collocation method for partial differential equations with random input data. (English) Zbl 1176.65007

MSC:
65C30 Numerical solutions to stochastic differential and integral equations
60H15 Stochastic partial differential equations (aspects of stochastic analysis)
35R60 PDEs with randomness, stochastic partial differential equations
65N35 Spectral, collocation and related methods for boundary value problems involving PDEs
65N50 Mesh generation, refinement, and adaptive methods for boundary value problems involving PDEs
65N12 Stability and convergence of numerical methods for boundary value problems involving PDEs
65N30 Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs
65N15 Error bounds for boundary value problems involving PDEs
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