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An introduction to computational stochastic PDEs /

Record Type:	Language materials, printed : Monograph/item
Title/Author:	An introduction to computational stochastic PDEs // Gabriel J. Lord, Heriot-Watt University, Edinburgh, Catherine E. Powell, University of Manchester, Tony Shardlow, University of Bath.
Author:	Lord, Gabriel J.,
other author:	Powell, Catherine E.,
Description:	1 online resource (xi, 503 pages) :digital, PDF file(s). :
Notes:	Title from publisher's bibliographic system (viewed on 05 Oct 2015).
Subject:	Stochastic partial differential equations. -
Online resource:	https://doi.org/10.1017/CBO9781139017329
ISBN:	9781139017329 (ebook)

An introduction to computational stochastic PDEs /
Lord, Gabriel J.,

An introduction to computational stochastic PDEs /Gabriel J. Lord, Heriot-Watt University, Edinburgh, Catherine E. Powell, University of Manchester, Tony Shardlow, University of Bath. - 1 online resource (xi, 503 pages) :digital, PDF file(s). - Cambridge texts in applied mathematics ;50. - Cambridge texts in applied mathematics ;50..

Title from publisher's bibliographic system (viewed on 05 Oct 2015).

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 modelling and materials science.

ISBN: 9781139017329 (ebook)Subjects--Topical Terms:

678164
Stochastic partial differential equations.

LC Class. No.: QA274.25 / .L67 2014

Dewey Class. No.: 519.2/2

An introduction to computational stochastic PDEs /
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100 1 $a Lord, Gabriel J., $e author. $3 1438342
245 1 3 $a An introduction to computational stochastic PDEs / $c Gabriel J. Lord, Heriot-Watt University, Edinburgh, Catherine E. Powell, University of Manchester, Tony Shardlow, University of Bath.
264 1 $a Cambridge : $b Cambridge University Press, $c 2014.
300 $a 1 online resource (xi, 503 pages) : $b digital, PDF file(s).
336 $a text $b txt $2 rdacontent
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338 $a online resource $b cr $2 rdacarrier
490 1 $a Cambridge texts in applied mathematics ; $v 50
500 $a Title from publisher's bibliographic system (viewed on 05 Oct 2015).
505 8 $a 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.
520 $a 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 modelling and materials science.
650 0 $a Stochastic partial differential equations. $3 678164
700 1 $a Powell, Catherine E., $e author. $3 1438343
700 1 $a Shardlow, Tony, $e author. $3 1438344
776 0 8 $i Print version: $z 9780521899901
830 0 $a Cambridge texts in applied mathematics ; $v 50. $3 1238310
856 4 0 $u https://doi.org/10.1017/CBO9781139017329