Lecture notes on Stochastic Methods

Full text:

• Introduction to simulation (507 KB)
• Random variables, stochastic processes and time series (858 KB)
• Spectral analysis of time series (855 KB)
• Univariate stationary stochastic models (674 KB)
• Persistence and simple scaling processes (Hurst-Kolmogorov) (1895 KB)
• Multivariate stochastic models (with Appendies (a) the SMUSH program (β) reservoir simulation) (688 KB)

Additional material:

• Example of power spectrum construction (Excel file--requires activation of macros) (261 KB)
• Example of use of the AMA simulation scheme (Excel file--requires activation of macros) (3921 KB)