# A Dynamical Sparse Grid Collocation Method for Differential Equations Driven by White Noise

## TL;DR

This paper introduces a sparse grid stochastic collocation method for efficiently simulating long-time behavior of stochastic differential equations driven by white noise, maintaining accuracy with limited computational resources.

## Contribution

It develops a novel evolving sparse quadrature rule approach with a restarting scheme to handle long-time SDE simulations efficiently.

## Key findings

- Accurately captures long-time solutions with small degrees of freedom.
- Demonstrates effectiveness on low-dimensional nonlinear SDEs.
- Maintains fixed computational complexity over time.

## Abstract

We propose a sparse grid stochastic collocation method for long-time simulations of stochastic differential equations (SDEs) driven by white noise. The method uses pre-determined sparse quadrature rules for the forcing term and constructs evolving set of sparse quadrature rules for the solution variables in time. We carry out a restarting scheme to keep the dimension of random variables for the forcing term, therefore also the number of quadrature points, independent of time. At each restart, a sparse quadrature rule for the current solution variables is constructed based on the knowledge of moments and the previous quadrature rules via a minimization procedure. In this way, the method allows us to capture the long-time solutions accurately using small degrees of freedom. We apply the algorithm to low-dimensional nonlinear SDEs and demonstrate its capability in long-time simulations numerically.