Numerical Methods for Stochastic Partial Differential Equations with White Noise

Numerical Methods for Stochastic Partial Differential Equations with White Noise

This book covers numerical methods for stochastic partial differential equations with white noise using the framework of Wong-Zakai approximation. In addition, stochastic Euler equations are exploited as an application of stochastic collocation methods, where a numerical comparison with other integr...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
1. Verfasser: Zhang, Zhongqiang
Format: Buch
Sprache:eng
Schlagworte:
Differential equations, partial
Mathematics
Mathematics and Statistics
Numerical Analysis
Partial Differential Equations
Probability Theory and Stochastic Processes
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Beschreibung
Zusammenfassung:This book covers numerical methods for stochastic partial differential equations with white noise using the framework of Wong-Zakai approximation. 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.
ISSN:0066-5452
2196-968X
DOI:10.1007/978-3-319-57511-7