Applied Mathematical Sciences

Numerical Methods for Stochastic Partial Differential Equations with White Noise

Authors: Zhang, Zhongqiang, Karniadakis, George Em

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  • Includes both theoretical and computational exercises, allowing for use with mixed-level classes
  • Provides Matlab codes for examples
  • The first book to emphasizes the Wong-Zakai approximation
  • Offers an approach to stochastic modeling other than the common Monte Carlo methods
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About this book

This book covers numerical methods for stochastic partial differential equations with white noise using the framework of Wong-Zakai approximation. The book begins with some motivational and background material in the introductory chapters and is divided into three parts. Part I covers numerical stochastic ordinary differential equations. Here the authors start with numerical methods for SDEs with delay using the Wong-Zakai approximation and finite difference in time. Part II covers temporal white noise. Here the authors consider SPDEs as PDEs driven by white noise, where discretization of white noise (Brownian motion) leads to PDEs with smooth noise, which can then be treated by numerical methods for PDEs. In this part, recursive algorithms based on Wiener chaos expansion and stochastic collocation methods are presented for linear stochastic advection-diffusion-reaction equations. 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. Part III covers spatial white noise. Here the authors discuss numerical methods for nonlinear elliptic equations as well as other equations with additive noise. Numerical methods for SPDEs with multiplicative noise are also discussed using the Wiener chaos expansion method. In addition, some SPDEs driven by non-Gaussian white noise are discussed and some model reduction methods (based on Wick-Malliavin calculus) are presented for generalized polynomial chaos expansion methods. Powerful techniques are provided for solving stochastic partial differential equations.

This book can be considered as self-contained. Necessary background knowledge is presented in the appendices. Basic knowledge of probability theory and stochastic calculus is presented in Appendix A. In Appendix B some semi-analytical methods for SPDEs are presented. In Appendix C an introduction to Gauss quadrature is provided. In Appendix D, all the conclusions which are needed for proofs are presented, and in Appendix E a method to compute the convergence rate empirically is included.

In addition, the authors provide a thorough review of the topics, both theoretical and computational exercises in the book with practical discussion of the effectiveness of the methods. Supporting Matlab files are made available to help illustrate some of the concepts further. Bibliographic notes are included at the end of each chapter. This book serves as a reference for graduate students and researchers in the mathematical sciences who would like to understand state-of-the-art numerical methods for stochastic partial differential equations with white noise.

Reviews

“Zhang and Karniadakis’ book may be used as a textbook, but it may also be considered as a reference for the state of the art concerning the numerical solution of stochastic differential equations involving white noise/Wiener processes/ Brownian motion. … Bibliographic notes address the state of the art in the field. Appendices give the necessary background in probability, stochastic calculus, semi-analytical approximation methods for stochastics differential equation, Gauss quadrature … . “ (José Eduardo Souze de Cursi, Mathematical Reviews, September, 2018)


“It is an interesting book on numerical methods for stochastic partial differential equations with white noise through the framework of Wong-Zakai approximation. ... . 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.” (Prabhat Kumar Mahanti, zbMATH 1380.65021, 2018)

Table of contents (12 chapters)

Table of contents (12 chapters)

Buy this book

eBook $84.99
price for USA in USD
  • ISBN 978-3-319-57511-7
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $149.99
price for USA in USD
  • ISBN 978-3-319-57510-0
  • with online files
  • Free shipping for individuals worldwide
  • Institutional customers should get in touch with their account manager
  • Shipping restrictions
  • Usually ready to be dispatched within 3 to 5 business days, if in stock
Softcover $109.99
price for USA in USD
  • ISBN 978-3-319-86181-4
  • Free shipping for individuals worldwide
  • Institutional customers should get in touch with their account manager
  • Shipping restrictions
  • Usually ready to be dispatched within 3 to 5 business days, if in stock
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Bibliographic Information

Bibliographic Information
Book Title
Numerical Methods for Stochastic Partial Differential Equations with White Noise
Authors
Series Title
Applied Mathematical Sciences
Series Volume
196
Copyright
2017
Publisher
Springer International Publishing
Copyright Holder
Springer International Publishing AG
eBook ISBN
978-3-319-57511-7
DOI
10.1007/978-3-319-57511-7
Hardcover ISBN
978-3-319-57510-0
Softcover ISBN
978-3-319-86181-4
Series ISSN
0066-5452
Edition Number
1
Number of Pages
XV, 394
Number of Illustrations
2 b/w illustrations, 34 illustrations in colour
Topics