An Introduction to Computational Stochastic PDEs

DOI10.1017/CBO9781139017329zbMath1327.60011OpenAlexW595079961MaRDI QIDQ2925391

Tony Shardlow, Catherine E. Powell, Gabriel J. Lord

Publication date: 22 October 2014

Full work available at URL: https://doi.org/10.1017/cbo9781139017329

Monte Carlo simulation semilinear stochastic partial differential equations Galerkin finite element approximation stochastic collocation elliptic partial differential equations with random data semi-implicit Euler methods Itō semilinear evolution equations

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Spectral, collocation and related methods for boundary value problems involving PDEs (65N35) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Research exposition (monographs, survey articles) pertaining to numerical analysis (65-02) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic analysis (60Hxx) Software, source code, etc. for problems pertaining to probability theory (60-04)

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