![]() | Numerical Methods for Stochastic Computations: A Spectral Method Approach Subjects: Stochastic differential equations -- Numerical solutions; Stochastic processes; Spectral theory (Mathematics); Approximation theory; Probabilities; 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 spectral methods of high-dimensional random spaces. Designed to simulate complex systems subject to random inputs, these methods are widely used in many areas of computer science and engineering. The first graduate-level textbook to focus on the fundamentals of numerical methods for stochastic computations Ideal introduction for graduate courses or self-study Fast, efficient, and accurate numerical methods Polynomial approximation theory and probability theory included Basic gPC methods illustrated through examples Dongbin Xiu is associate professor of mathematics at Purdue University. |
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