Taylor Approximations for Stochastic Partial Differential Equations - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Taylor Approximations for Stochastic Partial Differential Equations write by Arnulf Jentzen. This book was released on 2011-01-01. Taylor Approximations for Stochastic Partial Differential Equations available in PDF, EPUB and Kindle. 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 Hl̲der 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.
Taylor Expansions for Stochastic Partial Differential Equations
Taylor Expansions for Stochastic Partial Differential Equations - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Taylor Expansions for Stochastic Partial Differential Equations write by Arnulf Jentzen. This book was released on 2009. Taylor Expansions for Stochastic Partial Differential Equations available in PDF, EPUB and Kindle.
Stochastic Partial Differential Equations
Stochastic Partial Differential Equations - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Stochastic Partial Differential Equations write by Étienne Pardoux. This book was released on 2021-10-25. Stochastic Partial Differential Equations available in PDF, EPUB and Kindle. This book gives a concise introduction to the classical theory of stochastic partial differential equations (SPDEs). It begins by describing the classes of equations which are studied later in the book, together with a list of motivating examples of SPDEs which are used in physics, population dynamics, neurophysiology, finance and signal processing. The central part of the book studies SPDEs as infinite-dimensional SDEs, based on the variational approach to PDEs. This extends both the classical Itô formulation and the martingale problem approach due to Stroock and Varadhan. The final chapter considers the solution of a space-time white noise-driven SPDE as a real-valued function of time and (one-dimensional) space. The results of J. Walsh's St Flour notes on the existence, uniqueness and Hölder regularity of the solution are presented. In addition, conditions are given under which the solution remains nonnegative, and the Malliavin calculus is applied. Lastly, reflected SPDEs and their connection with super Brownian motion are considered. At a time when new sophisticated branches of the subject are being developed, this book will be a welcome reference on classical SPDEs for newcomers to the theory.
Applied Stochastic Differential Equations
Applied Stochastic Differential Equations - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Applied Stochastic Differential Equations write by Simo Särkkä. This book was released on 2019-05-02. Applied Stochastic Differential Equations available in PDF, EPUB and Kindle. With this hands-on introduction readers will learn what SDEs are all about and how they should use them in practice.
Numerical Solution of Stochastic Differential Equations
Numerical Solution of Stochastic Differential Equations - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Numerical Solution of Stochastic Differential Equations write by Peter E. Kloeden. This book was released on 2013-04-17. Numerical Solution of Stochastic Differential Equations available in PDF, EPUB and Kindle. The numerical analysis of stochastic differential equations (SDEs) differs significantly from that of ordinary differential equations. This book provides an easily accessible introduction to SDEs, their applications and the numerical methods to solve such equations. From the reviews: "The authors draw upon their own research and experiences in obviously many disciplines... considerable time has obviously been spent writing this in the simplest language possible." --ZAMP
