An Introduction to Computational Stochastic PDEs

Nonfiction, Science & Nature, Mathematics, Differential Equations, Computers, General Computing
Cover of the book An Introduction to Computational Stochastic PDEs by Gabriel J. Lord, Catherine E. Powell, Tony Shardlow, Cambridge University Press
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Author: Gabriel J. Lord, Catherine E. Powell, Tony Shardlow ISBN: 9781139904087
Publisher: Cambridge University Press Publication: August 11, 2014
Imprint: Cambridge University Press Language: English
Author: Gabriel J. Lord, Catherine E. Powell, Tony Shardlow
ISBN: 9781139904087
Publisher: Cambridge University Press
Publication: August 11, 2014
Imprint: Cambridge University Press
Language: English

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 MATLABĀ® 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 modelling and materials science.

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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 MATLABĀ® 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 modelling and materials science.

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