Numerical methods for stochastic partial differential equations with white noise
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Publication:2360307
algorithmcollocation methodconvergencemonographnonlinearitystochastic partial differential equationswhite noiseWiener chaos expansionWong-Zakai approximation
PDEs with randomness, stochastic partial differential equations (35R60) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Research exposition (monographs, survey articles) pertaining to numerical analysis (65-02) Numerical solutions to stochastic differential and integral equations (65C30)
It is an interesting book on numerical methods for stochastic partial differential equations with white noise through the framework of Wong-Zakai approximation. Initially the book provides the reader with the initial background in the introduction chapter and it is nicely divided into three parts, namely, numerical stochastic ordinary differential equations with delay and finite difference in time, then in Part two, white noise is introduce where discretization of white noise is leading into partial differential equations (PDEs) of smooth noise. Finally, in the third part, spatial white noise is discussed in detail and recursive algorithms based on the Wiener chaos expansion and the stochastic collocation method are presented. This book is considered to be self-contained for the researchers in mathematics and in particular in the area of PDEs. Appendices are given so that the theory and associated problems are easy to understand. 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.
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