High-Order Spectral Method of Density Estimation for Stochastic Differential Equation Driven by Multivariate Gaussian Random Variables

Figure 1

(a) Contours of the random function . (b) The PDF of (black diamond dotted line), the red line and blue line represent its approximation by multidimensional spline-based and gPC-based Algorithm 1, respectively. (c) The error of PDF by gPC-based approximation with the number of basis function.

(a)

(b)

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