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Taylor approximations for stochastic partial differential equations / Arnulf Jentzen; Peter E. Kloeden

By: Contributor(s): Resource type: Ressourcentyp: Buch (Online)Book (Online)Publisher number: CB83Language: English Series: Regional conference series in applied mathematics ; 83Publisher: Philadelphia, Pa : Society for Industrial and Applied Mathematics (SIAM, 3600 Market Street, Floor 6, Philadelphia, PA 19104), 2011Description: XIV, 220 SISBN:
  • 9781611972009
  • 9781611972016
  • 1611972000
  • 9781611972009
Subject(s): Additional physical formats: 9781611972016 | 1611972000 | Erscheint auch als: Taylor approximations for stochastic partial differential equations. Druck-Ausgabe Philadelphia, Pa. : Society for Industrial and Applied Mathematics, 2011. XIV, 220 S.DDC classification:
  • 515/.353 23
  • 515.353
MSC: MSC: *35-02 | 35R60 | 60H15 | 35A35RVK: RVK: SK 820LOC classification:
  • QA274.25
DOI: DOI: 10.1137/1.9781611972016Online resources: Summary: 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 Hḻder 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 appendixPPN: PPN: 72201869XPackage identifier: Produktsigel: ZDB-72-SIA
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