Numerical methods for stochastic computations : a spectral method approach /

"The first graduate-level textbook to focus on fundamental aspects of numerical methods for stochastic computations, this book describes the class of numerical methods based on generalized polynomial chaos (gPC). These fast, efficient, and accurate methods are an extension of the classical spec...

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Bibliographic Details
Call Number:Libro Electrónico
Main Author: Xiu, Dongbin, 1971-
Format: Electronic eBook
Language:Inglés
Published: Princeton, N.J. : Princeton University Press, ©2010.
Subjects:
Stochastic differential equations > Numerical solutions.
Stochastic processes.
Spectral theory (Mathematics)
Approximation theory.
Probabilities.
Stochastic Processes
Probability
Équations différentielles stochastiques > Solutions numériques.
Processus stochastiques.
Spectre (Mathématiques)
Théorie de l'approximation.
Probabilités.
probability.
MATHEMATICS > Applied.
MATHEMATICS > Probability & Statistics > General.
COMPUTERS > Computer Science.
Approximation theory
Probabilities
Stochastic differential equations > Numerical solutions
Stochastic processes
Online Access:Texto completo
Table of Contents:
  • Introduction
  • Basic Concepts of Probability Theory
  • Survey of Orthogonal Polynomials and Approximation Theory
  • Formulation of Stochastic Systems
  • Generalized Polynomial Chaos
  • Stochastic Galerkin Method
  • Stochastic Collocation Method
  • Miscellaneous Topics and Applications
  • Appendix A. Some Important Orthogonal Polynomials in the Askey Scheme
  • Appendix B. The Truncated Gaussian Model G(a, ß); References.

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