An Introduction to Computational Stochastic PDEs (English, Gabriel J. Lord | Catherine E. Powell | Tony Shardlow)
by Gabriel J. Lord | Catherine E. Powell | Tony Shardlow
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About the Book
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 t…
ISBN: 9780521728522
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