عنوان

An introduction to computational stochastic PDEs

عنوان اصلي

An introduction to computational stochastic PDEs

نام نخستين پديدآور

Gabriel J. Lord, Catherine E. Powell, Tony Shardlow

محل نشرو پخش و غیره

Newyork

نام ناشر، پخش کننده و غيره

Cambridge

تاریخ نشرو بخش و غیره

2014

نام خاص و کميت اثر

xi, 503 pages : illustrations )some color(

عنوان فروست

Cambridge texts in applied mathematics ;50

متن يادداشت

"This book gives a comprehensive introduction to numerical methods and analysis of stochastic processes, random fields and stochastic differential equations, and offers graduate students and researchers powerful tools for understanding uncertainty quantification for risk analysis. Coverage includes traditional stochastic ODEs with white noise forcing, strong and weak approximation, and the multi-level Monte Carlo method. Later chapters apply the theory of random fields to the numerical solution of elliptic PDEs with correlated random data, discuss the Monte Carlo method, and introduce stochastic Galerkin finite-element methods. Finally, stochastic parabolic PDEs are developed. Assuming little previous exposure to probability and statistics, theory is developed in tandem with state-of the art computational methods through worked examples, exercises, theorems and proofs. The set of MATLAB codes included )and downloadable( allows readers to perform computations themselves and solve the test problems discussed. Practical examples are drawn from finance, mathematical biology, neuroscience, fluid flow modeling and materials science"--Provided by publisher.

متن يادداشت

Machine generated contents note: Part I. Deterministic Differential Equations: 1. Linear analysis; 2. Galerkin approximation and finite elements; 3. Time-dependent differential equations; Part II. Stochastic Processes and Random Fields: 4. Probability theory; 5. Stochastic processes; 6. Stationary Gaussian processes; 7. Random fields; Part III. Stochastic Differential Equations: 8. Stochastic ordinary differential equations )SODEs(; 9. Elliptic PDEs with random data; 10. Semilinear stochastic PDEs.

متن يادداشت

Includes bibliographical references )pages 489-498( and index.

عنصر شناسه ای

Stochastic partial differential equations

عنصر شناسه ای

MATHEMATICS / Differential Equations.^abisacsh

شماره رده

شماره رکورد رده بندي

نشانه اثر

شماره رکورد غير از شماره رده بندي

عنصر شناسه اي

Lord, Gabriel J. author

عنصر شناسه اي

Title

عنصر شناسه اي

Powell, Catherine E.

عنصر شناسه اي

Shardlow, Tony

عنصر شناسه اي

Title: Introduction to computational stochastic partial differential equations

نوع ماده

English Book