Calculating the Malliavin Derivative of some numerical model using the Malliavin Weight Sampling method

The Malliavin calculus suggests a methodology, called the Malliavin Weight Sampling method, for computing the derivative of an expected quantity of a stochastic system with respect to the parameters of its underlying stochastic variable. This repository shows how to apply this method to some problems found in classical mechanics, including problems solved using numerical methods like finite elements (FEniCS) and finite differences.<br>This code was used to generate the results in the paper:<br>Calculating the Malliavin derivative of some stochastic mechanics problems, Hauseux P, Hale JS, Bordas SPA (2017) PLOS ONE 12(12): e0189994 https://doi.org/10.1371/journal.pone.0189994<br><br>This repository is for archive purposes. Please see the bitbucket repository below for the latest version.