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Article Dans Une Revue Probabilistic Engineering Mechanics Année : 2020

Global sensitivity analysis for stochastic processes with independent increments

Résumé

This paper is a first attempt to develop a numerical technique to analyze the sensitivity and the propagation of uncertainty through a system with stochastic processes having independent increments as input. Similar to Sobol’ indices for random variables, a metamodel based on Chaos expansions is used and it is shown to be well suited to address such problems. New global sensitivity indices are also introduced to tackle the specificity of stochastic processes. The accuracy and the efficiency of the proposed method is demonstrated on an analytical example with three different input stochastic processes: a Wiener process; an Ornstein-Uhlenbeck process and a Brownian bridge process. The considered output, which is function of these three processes, is a non-Gaussian process. Then, we apply the same ideas on an example without known analytical solution.
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Dates et versions

hal-02926263 , version 1 (13-11-2020)

Identifiants

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Hacène Djellout, Cédric Chauvière, Emeline Gayrard, Pierre Bonnet, Don-Pierre Zappa. Global sensitivity analysis for stochastic processes with independent increments. Probabilistic Engineering Mechanics, In press, Probabilistic Engineering Mechanics, 62, ⟨10.1016/j.probengmech.2020.103098⟩. ⟨hal-02926263⟩
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