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An introduction to computational sto...

Lord, Gabriel J.

An introduction to computational stochastic PDEs

Record Type:	Electronic resources : Monograph/item
Title/Author:	An introduction to computational stochastic PDEsGabriel J. Lord, Catherine E. Powell, Tony Shardlow.
Author:	Lord, Gabriel J.
other author:	Powell, Catherine E.
Published:	Cambridge :Cambridge University Press,2014.
Description:	xi, 503 p. :ill., digital ;24 cm.
Subject:	Stochastic partial differential equations.
Online resource:	https://doi.org/10.1017/CBO9781139017329
ISBN:	9781139017329$q(electronic bk.)

An introduction to computational stochastic PDEs
Lord, Gabriel J.

An introduction to computational stochastic PDEs[electronic resource] /Gabriel J. Lord, Catherine E. Powell, Tony Shardlow. - Cambridge :Cambridge University Press,2014. - xi, 503 p. :ill., digital ;24 cm. - Cambridge texts in applied mathematics ;50. - Cambridge texts in applied mathematics ;50..

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$q(electronic bk.)Subjects--Topical Terms:

199002
Stochastic partial differential equations.

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

Dewey Class. No.: 519.22

An introduction to computational stochastic PDEs
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020 $a 9780521899901$q(hardback)
020 $a 9780521728522$q(paperback)
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050 4 $a QA274.25 $b .L67 2014
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090 $a QA274.25 $b .L866 2014
100 1 $a Lord, Gabriel J. $3 394268
245 1 3 $a An introduction to computational stochastic PDEs $h [electronic resource] / $c Gabriel J. Lord, Catherine E. Powell, Tony Shardlow.
260 $a Cambridge : $b Cambridge University Press, $c 2014.
300 $a xi, 503 p. : $b ill., digital ; $c 24 cm.
490 1 $a Cambridge texts in applied mathematics ; $v 50
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 199002
700 1 $a Powell, Catherine E. $3 709082
700 1 $a Shardlow, Tony. $3 709083
830 0 $a Cambridge texts in applied mathematics ; $v 50. $3 840386
856 4 0 $u https://doi.org/10.1017/CBO9781139017329