An Introduction to Computational Stochastic Pdes
(Book #50 in the Cambridge Texts in Applied Mathematics Series)
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Book Overview
This book gives a comprehensive introduction to numerical methods and analysis of stochastic processes, random fields and stochastic differential equations, and offers graduate students and researchers powerful tools for understanding uncertainty quantification for risk analysis. Coverage includes traditional stochastic ODEs with white noise forcing, strong and weak approximation, and the multi-level Monte Carlo method. Later chapters apply the theory...
Format:Paperback
Language:English
ISBN:0521728525
ISBN13:9780521728522
Release Date:August 2014
Publisher:Cambridge University Press
Length:520 Pages
Weight:2.20 lbs.
Dimensions:1.1" x 6.9" x 9.7"
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