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Book Chapter

Brownian motion and stochastic calculus

Springer, (2017), 11-51
DOI: 10.1007/978-3-319-57511-7_2
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Abstract

In this chapter, we review some basic concepts for stochastic processes and stochastic calculus as well as numerical integration methods in random space for obtaining statistics of stochastic processes.

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APA

Zhang, Z., & Karniadakis, G. E. (2017). Brownian motion and stochastic calculus. In Applied Mathematical Sciences (Switzerland) (Vol. 196, pp. 11–51). Springer. https://doi.org/10.1007/978-3-319-57511-7_2

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