Taylor Approximations for Stochastic Partial Differential Equations (Paperback, New)

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 Holder 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."

General

Imprint:	Society For Industrial & Applied Mathematics,U.S.
Country of origin:	United States
Series:	CBMS-NSF Regional Conference Series, 83
Release date:	November 2011
First published:	December 2011
Authors:	Arnulf Jentzen • Peter E. Kloeden
Dimensions:	229 x 152 x 13mm (L x W x T)
Format:	Paperback - Trade
Pages:	234
Edition:	New
ISBN-13:	978-1-61197-200-9
Categories:	Books > Science & Mathematics > Mathematics > Probability & statistics Books > Science & Mathematics > Mathematics > Calculus & mathematical analysis > Differential equations
LSN:	1-61197-200-0
Barcode:	9781611972009

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