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AN INTRODUCTION TO COMPUTATIONAL STOCHASTIC …
A N I N T RO D U C T I O N T O C O M P U TAT I O NA LS T O C H A S T I C P D E SThis book gives a comprehensive INTRODUCTION to numerical methods and anal-ysis of STOCHASTIC processes, random fields and STOCHASTIC differential equations,and offers graduate students and researchers powerful tools for understanding un-certainty quantification for risk analysis. Coverage includes traditional stochasticordinary differential equations with white noise forcing, strong and weak approx-imation and the multilevel Monte Carlo method. Later chapters apply the theoryof random fields to the numerical solution of elliptic PDEs with correlated randomdata, discuss the Monte Carlo method and introduce STOCHASTIC Galerkin finite ele-ment methods. Finally, STOCHASTIC parabolic PDEs are little previous exposure to probability and statistics, theory is devel-oped in tandem with state-of-the-art COMPUTATIONAL methods through worked ex-amples, exercises, theorems and proofs.
AN INTRODUCTION TO COMPUTATIONAL STOCHASTIC PDES This book gives a comprehensive introduction to numerical methods and anal-ysis of stochastic processes, random fields and stochastic differential equations,
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