PC Expansion for Global Sensitivity Analysis of non-smooth funtionals of uncertain Stochastic Differential Equation solutions
Maria Navarro Jimenez  1, *, @  , Olivier Le Maître  1, 2, @  , Omar Knio  1, 3, @  
1 : King Abdullah University of Science and Technology  (KAUST)  -  Website
King Abdullah University of Science and Technology P.O.Box 55455 Jeddah 21534, Saudi Arabia -  Saudi Arabia
2 : Laboratoire d'Informatique pour la Mécanique et les Sciences de l'Ingénieur  (LIMSI-CNRS)  -  Website
Centre National de la Recherche Scientifique - CNRS
UPR-3251, Orsay -  France
3 : Duke university [Durham]  -  Website
Durham, NC 27708 -  United States
* : Corresponding author
Subject : : oral
Topics : Variance-based sensitivity analysis
Keywords : Sthocastic differential equation ; Polynomial chaos ; Variance decomposition
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