Global sensitivity analysis for models described by stochastic differential equations

Pierre Etoré 1 Clémentine Prieur 2, 3 Dang Khoi Pham 2, 3 Long Li 2, 3
1 IPS - Inférence Processus Stochastiques
LJK - Laboratoire Jean Kuntzmann
2 AIRSEA - Mathematics and computing applied to oceanic and atmospheric flows
Grenoble INP - Institut polytechnique de Grenoble - Grenoble Institute of Technology, UGA - Université Grenoble Alpes, LJK - Laboratoire Jean Kuntzmann, Inria Grenoble - Rhône-Alpes
Abstract : Many mathematical models involve input parameters, which are not precisely known. Global sensitivity analysis aims to identify the parameters whose uncertainty has the largest impact on the variability of a quantity of interest. One of the statistical tools used to quantify the influence of each input variable on the quantity of interest are the Sobol' sensitivity indices. In this paper, we consider stochastic models described by stochastic differential equations (SDE). We focus the study on mean quantities, defined as the expectation with respect to the Wiener measure of a quantity of interest related to the solution of the SDE itself. Our approach is based on a Feynman-Kac representation of the quantity of interest, from which we get a parametrized partial differential equation (PDE) representation of our initial problem. We then handle the uncertainty on the parametrized PDE using polynomial chaos expansion and a stochastic Galerkin projection.
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Submitted on : Monday, November 19, 2018 - 3:07:44 PM
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  • HAL Id : hal-01926919, version 1
  • ARXIV : 1811.08101

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Pierre Etoré, Clémentine Prieur, Dang Khoi Pham, Long Li. Global sensitivity analysis for models described by stochastic differential equations. 2018. ⟨hal-01926919⟩

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