Analysis of Stochastic Partial Differential Equations PDF Download
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Author: Davar Khoshnevisan
Publisher: American Mathematical Soc.
ISBN: 147041547X
Category : Mathematics
Languages : en
Pages : 127
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Book Description
The general area of stochastic PDEs is interesting to mathematicians because it contains an enormous number of challenging open problems. There is also a great deal of interest in this topic because it has deep applications in disciplines that range from applied mathematics, statistical mechanics, and theoretical physics, to theoretical neuroscience, theory of complex chemical reactions [including polymer science], fluid dynamics, and mathematical finance. The stochastic PDEs that are studied in this book are similar to the familiar PDE for heat in a thin rod, but with the additional restriction that the external forcing density is a two-parameter stochastic process, or what is more commonly the case, the forcing is a "random noise," also known as a "generalized random field." At several points in the lectures, there are examples that highlight the phenomenon that stochastic PDEs are not a subset of PDEs. In fact, the introduction of noise in some partial differential equations can bring about not a small perturbation, but truly fundamental changes to the system that the underlying PDE is attempting to describe. The topics covered include a brief introduction to the stochastic heat equation, structure theory for the linear stochastic heat equation, and an in-depth look at intermittency properties of the solution to semilinear stochastic heat equations. Specific topics include stochastic integrals à la Norbert Wiener, an infinite-dimensional Itô-type stochastic integral, an example of a parabolic Anderson model, and intermittency fronts. There are many possible approaches to stochastic PDEs. The selection of topics and techniques presented here are informed by the guiding example of the stochastic heat equation. A co-publication of the AMS and CBMS.
Author: Davar Khoshnevisan
Publisher: American Mathematical Soc.
ISBN: 147041547X
Category : Mathematics
Languages : en
Pages : 127
Get Book Here
Book Description
The general area of stochastic PDEs is interesting to mathematicians because it contains an enormous number of challenging open problems. There is also a great deal of interest in this topic because it has deep applications in disciplines that range from applied mathematics, statistical mechanics, and theoretical physics, to theoretical neuroscience, theory of complex chemical reactions [including polymer science], fluid dynamics, and mathematical finance. The stochastic PDEs that are studied in this book are similar to the familiar PDE for heat in a thin rod, but with the additional restriction that the external forcing density is a two-parameter stochastic process, or what is more commonly the case, the forcing is a "random noise," also known as a "generalized random field." At several points in the lectures, there are examples that highlight the phenomenon that stochastic PDEs are not a subset of PDEs. In fact, the introduction of noise in some partial differential equations can bring about not a small perturbation, but truly fundamental changes to the system that the underlying PDE is attempting to describe. The topics covered include a brief introduction to the stochastic heat equation, structure theory for the linear stochastic heat equation, and an in-depth look at intermittency properties of the solution to semilinear stochastic heat equations. Specific topics include stochastic integrals à la Norbert Wiener, an infinite-dimensional Itô-type stochastic integral, an example of a parabolic Anderson model, and intermittency fronts. There are many possible approaches to stochastic PDEs. The selection of topics and techniques presented here are informed by the guiding example of the stochastic heat equation. A co-publication of the AMS and CBMS.
Author:
Publisher:
ISBN: 9789819903870
Category :
Languages : en
Pages : 0
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Book Description
Author: S. Peszat
Publisher: Cambridge University Press
ISBN: 0521879892
Category : Mathematics
Languages : en
Pages : 45
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Book Description
Comprehensive monograph by two leading international experts; includes applications to statistical and fluid mechanics and to finance.
Author: Robert C. Dalang
Publisher: Springer Science & Business Media
ISBN: 3540859934
Category : Mathematics
Languages : en
Pages : 230
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Book Description
This title contains lectures that offer an introduction to modern topics in stochastic partial differential equations and bring together experts whose research is centered on the interface between Gaussian analysis, stochastic analysis, and stochastic PDEs.
Author: Sergey V. Lototsky
Publisher: Springer
ISBN: 3319586475
Category : Mathematics
Languages : en
Pages : 517
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Book Description
Taking readers with a basic knowledge of probability and real analysis to the frontiers of a very active research discipline, this textbook provides all the necessary background from functional analysis and the theory of PDEs. It covers the main types of equations (elliptic, hyperbolic and parabolic) and discusses different types of random forcing. The objective is to give the reader the necessary tools to understand the proofs of existing theorems about SPDEs (from other sources) and perhaps even to formulate and prove a few new ones. Most of the material could be covered in about 40 hours of lectures, as long as not too much time is spent on the general discussion of stochastic analysis in infinite dimensions. As the subject of SPDEs is currently making the transition from the research level to that of a graduate or even undergraduate course, the book attempts to present enough exercise material to fill potential exams and homework assignments. Exercises appear throughout and are usually directly connected to the material discussed at a particular place in the text. The questions usually ask to verify something, so that the reader already knows the answer and, if pressed for time, can move on. Accordingly, no solutions are provided, but there are often hints on how to proceed. The book will be of interest to everybody working in the area of stochastic analysis, from beginning graduate students to experts in the field.
Author: Sergio Chibbaro
Publisher: Springer Science & Business Media
ISBN: 3709116228
Category : Technology & Engineering
Languages : en
Pages : 175
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Book Description
Since their first introduction in natural sciences through the work of Einstein on Brownian motion in 1905 and further works, in particular by Langevin, Smoluchowski and others, stochastic processes have been used in several areas of science and technology. For example, they have been applied in chemical studies, or in fluid turbulence and for combustion and reactive flows. The articles in this book provide a general and unified framework in which stochastic processes are presented as modeling tools for various issues in engineering, physics and chemistry, with particular focus on fluid mechanics and notably dispersed two-phase flows. The aim is to develop what can referred to as stochastic modeling for a whole range of applications.
Author: Marek Capi?ski
Publisher: World Scientific
ISBN: 9789810217105
Category : Science
Languages : en
Pages : 256
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Book Description
This book is an exposition of a new approach to the Navier-Stokes equations, using powerful techniques provided by nonstandard analysis, as developed by the authors. The topics studied include the existence and uniqueness of weak solutions, statistical solutions and the solution of general stochastic equations.The authors provide a self-contained introduction to nonstandard analysis, designed with applied mathematicians in mind and concentrated specifically on techniques applicable to the Navier-Stokes equations. The subsequent exposition shows how these new techniques allow a quick and intuitive entrance into the mathematical theory of hydrodynamics, as well as provide a research tool that has proven useful in solving open problems concerning stochastic equations.
Author: Jinqiao Duan
Publisher: Elsevier
ISBN: 0128012692
Category : Mathematics
Languages : en
Pages : 283
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Book Description
Effective Dynamics of Stochastic Partial Differential Equations focuses on stochastic partial differential equations with slow and fast time scales, or large and small spatial scales. The authors have developed basic techniques, such as averaging, slow manifolds, and homogenization, to extract effective dynamics from these stochastic partial differential equations. The authors' experience both as researchers and teachers enable them to convert current research on extracting effective dynamics of stochastic partial differential equations into concise and comprehensive chapters. The book helps readers by providing an accessible introduction to probability tools in Hilbert space and basics of stochastic partial differential equations. Each chapter also includes exercises and problems to enhance comprehension. - New techniques for extracting effective dynamics of infinite dimensional dynamical systems under uncertainty - Accessible introduction to probability tools in Hilbert space and basics of stochastic partial differential equations - Solutions or hints to all Exercises
Author: Min-You Qi
Publisher: CRC Press
ISBN: 9780582292123
Category : Mathematics
Languages : en
Pages : 248
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Book Description
Author: D. Cioranescu
Publisher: Springer
ISBN: 3319393308
Category : Science
Languages : en
Pages : 400
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Book Description
This text is the first of its kind to bring together both the thermomechanics and mathematical analysis of Reiner-Rivlin fluids and fluids of grades 2 and 3 in a single book. Each part of the book can be considered as being self-contained. The first part of the book is devoted to a description of the mechanics, thermodynamics, and stability of flows of fluids of grade 2 and grade 3. The second part of the book is dedicated to the development of rigorous mathematical results concerning the equations governing the motion of a family of fluids of the differential type. Finally, the proofs of a number of useful results are collected in an appendix.
