In this book the Wong-Zakai approximation and Wiener chaos expansion are used for stochastic partial differential equations. In this framework, the reader is led to systems of deterministic partial differential equations with unknowns being the Wiener chaos expansion coefficients. The importance of the special structure of linear systems is emphasized. Sparse grid collocation methods are also discussed as well as generalized polynomial chaos. The advantages of the Wong-Zakai approximation are presented for stochastic ordinary and partial differential equations. Moreover, the Wick-Malliavin...
In this book the Wong-Zakai approximation and Wiener chaos expansion are used for stochastic partial differential equations. In this framework, the...