Cantitate/Preț
Produs

Numerical Methods for Stochastic Partial Differential Equations with White Noise: Applied Mathematical Sciences, cartea 196

Autor Zhongqiang Zhang, George Em Karniadakis
en Limba Engleză Hardback – 12 sep 2017
This book covers numerical methods for stochastic partial differential equations with white noise using the framework of Wong-Zakai approximation. The book begins with some motivational and background material in the introductory chapters and is divided into three parts. Part I covers numerical stochastic ordinary differential equations. Here the authors start with numerical methods for SDEs with delay using the Wong-Zakai approximation and finite difference in time. Part II covers temporal white noise. Here the authors consider SPDEs as PDEs driven by white noise, where discretization of white noise (Brownian motion) leads to PDEs with smooth noise, which can then be treated by numerical methods for PDEs. In this part, recursive algorithms based on Wiener chaos expansion and stochastic collocation methods are presented for linear stochastic advection-diffusion-reaction equations. In addition, stochastic Euler equations are exploited as an application of stochastic collocation methods, where a numerical comparison with other integration methods in random space is made. Part III covers spatial white noise. Here the authors discuss numerical methods for nonlinear elliptic equations as well as other equations with additive noise. Numerical methods for SPDEs with multiplicative noise are also discussed using the Wiener chaos expansion method. In addition, some SPDEs driven by non-Gaussian white noise are discussed and some model reduction methods (based on Wick-Malliavin calculus) are presented for generalized polynomial chaos expansion methods. Powerful techniques are provided for solving stochastic partial differential equations.
This book can be considered as self-contained. Necessary background knowledge is presented in the appendices. Basic knowledge of probability theory and stochastic calculus is presented in Appendix A. In Appendix B some semi-analytical methods for SPDEs are presented. In Appendix C an introduction to Gauss quadrature is provided.In Appendix D, all the conclusions which are needed for proofs are presented, and in Appendix E a method to compute the convergence rate empirically is included.
In addition, the authors provide a thorough review of the topics, both theoretical and computational exercises in the book with practical discussion of the effectiveness of the methods. Supporting Matlab files are made available to help illustrate some of the concepts further. Bibliographic notes are included at the end of each chapter. This book serves as a reference for graduate students and researchers in the mathematical sciences who would like to understand state-of-the-art numerical methods for stochastic partial differential equations with white noise.
Citește tot Restrânge

Toate formatele și edițiile

Toate formatele și edițiile Preț Express
Paperback (1) 69621 lei  38-44 zile
  Springer International Publishing – 10 aug 2018 69621 lei  38-44 zile
Hardback (1) 100649 lei  6-8 săpt.
  Springer International Publishing – 12 sep 2017 100649 lei  6-8 săpt.

Din seria Applied Mathematical Sciences

Preț: 100649 lei

Preț vechi: 122743 lei
-18% Nou

Puncte Express: 1510

Preț estimativ în valută:
19262 20067$ 16015£

Carte tipărită la comandă

Livrare economică 08-22 februarie 25

Preluare comenzi: 021 569.72.76

Specificații

ISBN-13: 9783319575100
ISBN-10: 3319575104
Pagini: 394
Ilustrații: XV, 394 p. 36 illus., 34 illus. in color. With online files/update.
Dimensiuni: 155 x 235 x 29 mm
Greutate: 7.39 kg
Ediția:1st ed. 2017
Editura: Springer International Publishing
Colecția Springer
Seria Applied Mathematical Sciences

Locul publicării:Cham, Switzerland

Cuprins

Preface.- Prologue.- Brownian Motion and Stochastic Calculus.- Numerical Methods for Stochastic Differential Equations.- Part I Stochastic Ordinary Differential Equations.- Numerical Schemes for SDEs with Time Delay Using the Wong-Zakai Approximation.- Balanced Numerical Schemes for SDEs with non-Lipschitz Coefficients.- Part II Temporal White Noise.- Wiener Chaos Methods for Linear Stochastic Advection-Diffusion-Reaction Equations.- Stochastic Collocation Methods for Differential Equations with White Noise.- Comparison Between Wiener Chaos Methods and Stochastic Collocation Methods.- Application of Collocation Method to Stochastic Conservation Laws.- Part III Spatial White Noise.- Semilinear Elliptic Equations with Additive Noise.- Multiplicative White Noise: The Wick-Malliavin Approximation.- Epilogue.- Appendices.- A. Basics of Probability.- B. Semi-analytical Methods for SPDEs.- C. Gauss Quadrature.- D. Some Useful Inequalities and Lemmas.- E. Computation of Convergence Rate.

Recenzii

“Zhang and Karniadakis’ book may be used as a textbook, but it may also be considered as a reference for the state of the art concerning the numerical solution of stochastic differential equations involving white noise/Wiener processes/ Brownian motion. … Bibliographic notes address the state of the art in the field. Appendices give the necessary background in probability, stochastic calculus, semi-analytical approximation methods for stochastics differential equation, Gauss quadrature … . “ (José Eduardo Souze de Cursi, Mathematical Reviews, September, 2018)

“It is an interesting book on numerical methods for stochastic partial differential equations with white noise through the framework of Wong-Zakai approximation. ... . It is to be noted that the authors provide a thorough review of topics both theoretical and computational exercises to justify the effectiveness of the developed methods. Further, the MATLAB files are made available to the researchers and readers to understand the state of art of numerical methods for stochastic partial differential equations.” (Prabhat Kumar Mahanti, zbMATH 1380.65021, 2018)

Textul de pe ultima copertă

This book covers numerical methods for stochastic partial differential equations with white noise using the framework of Wong-Zakai approximation. The book begins with some motivational and background material in the introductory chapters and is divided into three parts. Part I covers numerical stochastic ordinary differential equations. Here the authors start with numerical methods for SDEs with delay using the Wong-Zakai approximation and finite difference in time. Part II covers temporal white noise. Here the authors consider SPDEs as PDEs driven by white noise, where discretization of white noise (Brownian motion) leads to PDEs with smooth noise, which can then be treated by numerical methods for PDEs. In this part, recursive algorithms based on Wiener chaos expansion and stochastic collocation methods are presented for linear stochastic advection-diffusion-reaction equations. In addition, stochastic Euler equations are exploited as an application of stochastic collocation methods, where a numerical comparison with other integration methods in random space is made. Part III covers spatial white noise. Here the authors discuss numerical methods for nonlinear elliptic equations as well as other equations with additive noise. Numerical methods for SPDEs with multiplicative noise are also discussed using the Wiener chaos expansion method. In addition, some SPDEs driven by non-Gaussian white noise are discussed and some model reduction methods (based on Wick-Malliavin calculus) are presented for generalized polynomial chaos expansion methods. Powerful techniques are provided for solving stochastic partial differential equations.
This book can be considered as self-contained. Necessary background knowledge is presented in the appendices. Basic knowledge of probability theory and stochastic calculus is presented in Appendix A. In Appendix B some semi-analytical methods for SPDEs are presented. In Appendix C an introduction to Gauss quadrature is provided.In Appendix D, all the conclusions which are needed for proofs are presented, and in Appendix E a method to compute the convergence rate empirically is included.
In addition, the authors provide a thorough review of the topics, both theoretical and computational exercises in the book with practical discussion of the effectiveness of the methods. Supporting Matlab files are made available to help illustrate some of the concepts further. Bibliographic notes are included at the end of each chapter. This book serves as a reference for graduate students and researchers in the mathematical sciences who would like to understand state-of-the-art numerical methods for stochastic partial differential equations with white noise.

Caracteristici

Includes both theoretical and computational exercises, allowing for use with mixed-level classes Provides Matlab codes for examples The first book to emphasizes the Wong-Zakai approximation Offers an approach to stochastic modeling other than the common Monte Carlo methods Includes supplementary material: sn.pub/extras Includes supplementary material: sn.pub/extras