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Tretyakov, Michael (Reader)
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Applied Mathematics
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dissertations
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Brownian motion
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Brownian motion processes
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Stochastic differential equations
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Wiener chaos expansion
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Wong-Zakai approximation
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Towards High-order Methods for Stochastic Differential Equations with White Noise: A Spectral Approach
Description:
We develop a recursive multistage Wiener chaos expansion method (WCE) and a recursive multi-stage stochastic collocation method (SCM) for numerical integration of linear stochastic advection-diffusion-reaction …
Year:
2014
Contributor:
zhang, zhongqiang (creator)
Karniadakis, George (Director)
Rozovskii, Boris (Director)
Tretyakov, Michael (Reader)
Sarkis, Marcus (Reader)
Brown University. Applied Mathematics (sponsor)
Genre:
theses
Subject:
Wiener chaos expansion
stochastic collocation method
stochastic differential equation
Brownian motion
spectral approximation
time integration
strong and weak convergence
numerical schemes
Wong-Zakai approximation
Stochastic differential equations
Brownian motion processes
Collection:
Applied Mathematics
Theses and Dissertations
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