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portada Taylor Approximations for Stochastic Partial Differential Equations
Type
Physical Book
Author
Publisher
Year
2011
Language
English
Pages
235
Format
Paperback
Dimensions
24.9x17.3x1.5 cm
Weight
0.39 kg.
ISBN
1611972000
ISBN13
9781611972009
Categories

Taylor Approximations for Stochastic Partial Differential Equations

Peter Kloeden (Author) · Arnulf Jentzen (Author) · Society for Industrial and Applied Mathematic · Paperback

Taylor Approximations for Stochastic Partial Differential Equations - Jentzen, Arnulf ; Kloeden, Peter

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NT$ 3,923
NT$ 3,923

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Synopsis "Taylor Approximations for Stochastic Partial Differential Equations"

This book presents a systematic theory of Taylor expansions of evolutionary-type stochastic partial differential equations (SPDEs). The authors show how Taylor expansions can be used to derive higher order numerical methods for SPDEs, with a focus on pathwise and strong convergence. In the case of multiplicative noise, the driving noise process is assumed to be a cylindrical Wiener process, while in the case of additive noise the SPDE is assumed to be driven by an arbitrary stochastic process with Hölder continuous sample paths. Recent developments on numerical methods for random and stochastic ordinary differential equations are also included since these are relevant for solving spatially discretised SPDEs as well as of interest in their own right. The authors include the proof of an existence and uniqueness theorem under general assumptions on the coefficients as well as regularity estimates in an appendix.

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