An introduction to computational stochastic PDEs / Gabriel J. Lord, Heriot-Watt University, Edinburgh, Catherine E. Powell, University of Manchester, Tony Shardlow, University of Bath.

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 t...

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Bibliographic Details
Uniform Title:Cambridge texts in applied mathematics ; 50.
Main Authors: Lord, Gabriel J. (Author)
Powell, Catherine E. (Author)
Shardlow, Tony (Author)
Language:English
Published: Cambridge : Cambridge University Press, 2014.
Series:Cambridge texts in applied mathematics ; 50.
Subjects:
Stochastic partial differential equations.
Online Access:
Connect to online resource - MSU authorized users (Digital Object Identifier Permalink)
Physical Description:1 online resource (xi, 503 pages) : digital, PDF file(s).
Format: Electronic eBook
Contents:
  • 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.