“…We will show that the computational cost of both these tasks can be alleviated by adapting the POD method to the stochastic setting. A number of reduced basis methods have been applied to stochastic systems in various contexts-see [1], [17], [21], [24], [25], [26], [47], [62], [67], [68], [104], [105], [117], [119], [150] and the references therein-but to the best of our knowledge the adaptation of the POD method to SDEs driven by a Wiener process has been much less investigated. An application of the POD method which is similar in spirit to our approach appears in [85] and [157], but only in the specific context of solving the stochastic Burgers equation, empirical approximation of the nonlinear term is not addressed, and only low-order integration in time is used (see also [31]).…”