عنوان

An introduction to computational stochastic PDEs

9780521899901

IR

17712

انگلیسی

IR

An introduction to computational stochastic PDEs

[Book]

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

Newyork

: Cambridge

, 2014.

xi, 503 pages

: illustrations (some color)

(Cambridge texts in applied mathematics

; 50)

Language: انگلیسی

Print

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

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.

"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.

Introduction to computational stochastic partial differential equations

Stochastic partial differential equations

MATHEMATICS / Differential Equations.--bisacsh

Lord, Gabriel J., author

Powell, Catherine E

Shardlow, Tony

ایران

دانشگاه بین المللی امام خمینی قزوین

QA274.25 .L67 2014

old catalog

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BL

1

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