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Stochastic integration via white noise analysis

โœ Scribed by Hui-Hsiung Kuo


Publisher
Elsevier Science
Year
1997
Tongue
English
Weight
718 KB
Volume
30
Category
Article
ISSN
0362-546X

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We consider fast numerical methods for computing the response of stochastic systems. The stochastic discretization is performed via a Karhunen-Loรฉve and Wiener's polynomial chaos expansion. In truncating this expansion and using a Galerkin projection, a finite dimensional system of equations remains