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
2 AIRSEA - Mathematics and computing applied to oceanic and atmospheric flows
3 GdR MASCOT-NUM - Méthodes d'Analyse Stochastique des Codes et Traitements Numériques

Mots clés: Feynman-Kac representation; Stochastic Differential Equations; Sobol' indices; Stochastic Galerkin Projection; Polynomial Chaos Expansion

Domaines: Probabilités [math.PR]; Statistiques [math.ST]; Equations aux dérivées partielles [math.AP]; Analyse numérique [math.NA]

Pierre Etoré, Clémentine Prieur, Dang Khoi Pham, Long Li. Global sensitivity analysis for models described by stochastic differential equations. Methodology and Computing in Applied Probability, 2020, pp.803-831. ⟨10.1007/s11009-019-09732-6⟩. ⟨hal-01926919v1⟩