Numerical methods for stochastic partial differential equations with white noise
Auteur :
Zhang, Zhongqiang / Karniadakis, George Em
Éditeur :
Springer International Publishing AG
ISBN :
9783319861814
Date de publication :
10 août 2018
Dimensions :
23,5 x 15,5 cm
Langue :
Anglais
Pays d'origine :
Suisse
This book covers numerical methods for stochastic partial differential equations with white noise using the framework of Wong-Zakai approximation. 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.