Xiu, Dongbin; Karniadakis, George Em The Wiener–Askey polynomial chaos for stochastic differential equations. (English) Zbl 1014.65004 SIAM J. Sci. Comput. 24, No. 2, 619-644 (2002). Cited in 671 Documents MSC: 65C30 Numerical solutions to stochastic differential and integral equations 65C05 Monte Carlo methods 60H10 Stochastic ordinary differential equations (aspects of stochastic analysis) 34F05 Ordinary differential equations and systems with randomness 60H35 Computational methods for stochastic equations (aspects of stochastic analysis) Keywords:polynomial chaos; Askey scheme; orthogonal polynomials; stochastic differential equations; spectral methods; Galerkin projection; exponential convergence; numerical examples; Monte Carlo simulations PDF BibTeX XML Cite \textit{D. Xiu} and \textit{G. E. Karniadakis}, SIAM J. Sci. Comput. 24, No. 2, 619--644 (2002; Zbl 1014.65004) Full Text: DOI