In this talk, I will introduce adaptive sparse grid DG methods, and discuss their applications in solving high dimensional PDEs, including kinetic equations, Hamilton-Jacobi equations, etc. The methods, which combines the advantages of sparse grid and DG approach, are shown to be particularly effective for high dimensional transport equations.The methods are constructed using multiwavelets of various kinds. We prove stability and accuracy for model equations. Adaptivity is incorporated for time evolution problems. Benchmark test results are shown.