Nonlinear Stochastic PDEs

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Publisher : Springer Science & Business Media
ISBN 13 : 1461384680
Total Pages : 319 pages
Book Rating : 4.4/5 (613 download)

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Book Synopsis Nonlinear Stochastic PDEs by : Tadahisa Funaki

Download or read book Nonlinear Stochastic PDEs written by Tadahisa Funaki and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 319 pages. Available in PDF, EPUB and Kindle. Book excerpt: This IMA Volume in Mathematics and its Applications NONLINEAR STOCHASTIC PDEs: HYDRODYNAMIC LIMIT AND BURGERS' TURBULENCE is based on the proceedings of the period of concentration on Stochas tic Methods for Nonlinear PDEs which was an integral part of the 1993- 94 IMA program on "Emerging Applications of Probability." We thank Tadahisa Funaki and Wojbor A. Woyczynski for organizing this meeting and for editing the proceedings. We also take this opportunity to thank the National Science Foundation and the Army Research Office, whose financial support made this workshop possible. A vner Friedman Willard Miller, Jr. xiii PREFACE A workshop on Nonlinear Stochastic Partial Differential Equations was held during the week of March 21 at the Institute for Mathematics and Its Applications at the University of Minnesota. It was part of the Special Year on Emerging Applications of Probability program put together by an organizing committee chaired by J. Michael Steele. The selection of topics reflected personal interests of the organizers with two areas of emphasis: the hydrodynamic limit problems and Burgers' turbulence and related models. The talks and the papers appearing in this volume reflect a number of research directions that are currently pursued in these areas.

Three Classes of Nonlinear Stochastic Partial Differential Equations

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Publisher : World Scientific
ISBN 13 : 981445236X
Total Pages : 177 pages
Book Rating : 4.8/5 (144 download)

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Book Synopsis Three Classes of Nonlinear Stochastic Partial Differential Equations by : Jie Xiong

Download or read book Three Classes of Nonlinear Stochastic Partial Differential Equations written by Jie Xiong and published by World Scientific. This book was released on 2013 with total page 177 pages. Available in PDF, EPUB and Kindle. Book excerpt: The study of measure-valued processes in random environments has seen some intensive research activities in recent years whereby interesting nonlinear stochastic partial differential equations (SPDEs) were derived. Due to the nonlinearity and the non-Lipschitz continuity of their coefficients, new techniques and concepts have recently been developed for the study of such SPDEs. These include the conditional Laplace transform technique, the conditional mild solution, and the bridge between SPDEs and some kind of backward stochastic differential equations. This volume provides an introduction to these topics with the aim of attracting more researchers into this exciting and young area of research. It can be considered as the first book of its kind. The tools introduced and developed for the study of measure-valued processes in random environments can be used in a much broader area of nonlinear SPDEs.

Nonlinear Stochastic Pdes

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Publisher :
ISBN 13 : 9781461384694
Total Pages : 336 pages
Book Rating : 4.3/5 (846 download)

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Book Synopsis Nonlinear Stochastic Pdes by : Tadahisa Funaki

Download or read book Nonlinear Stochastic Pdes written by Tadahisa Funaki and published by . This book was released on 1995-12-01 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt:

A Concise Course on Stochastic Partial Differential Equations

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Publisher : Springer
ISBN 13 : 3540707816
Total Pages : 149 pages
Book Rating : 4.5/5 (47 download)

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Book Synopsis A Concise Course on Stochastic Partial Differential Equations by : Claudia Prévôt

Download or read book A Concise Course on Stochastic Partial Differential Equations written by Claudia Prévôt and published by Springer. This book was released on 2007-05-26 with total page 149 pages. Available in PDF, EPUB and Kindle. Book excerpt: These lectures concentrate on (nonlinear) stochastic partial differential equations (SPDE) of evolutionary type. There are three approaches to analyze SPDE: the "martingale measure approach", the "mild solution approach" and the "variational approach". The purpose of these notes is to give a concise and as self-contained as possible an introduction to the "variational approach". A large part of necessary background material is included in appendices.

An Introduction to Nonlinear Partial Differential Equations

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Publisher : John Wiley & Sons
ISBN 13 : 0470225955
Total Pages : 416 pages
Book Rating : 4.4/5 (72 download)

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Book Synopsis An Introduction to Nonlinear Partial Differential Equations by : J. David Logan

Download or read book An Introduction to Nonlinear Partial Differential Equations written by J. David Logan and published by John Wiley & Sons. This book was released on 2008-04-11 with total page 416 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for the First Edition: "This book is well conceived and well written. The author has succeeded in producing a text on nonlinear PDEs that is not only quite readable but also accessible to students from diverse backgrounds." —SIAM Review A practical introduction to nonlinear PDEs and their real-world applications Now in a Second Edition, this popular book on nonlinear partial differential equations (PDEs) contains expanded coverage on the central topics of applied mathematics in an elementary, highly readable format and is accessible to students and researchers in the field of pure and applied mathematics. This book provides a new focus on the increasing use of mathematical applications in the life sciences, while also addressing key topics such as linear PDEs, first-order nonlinear PDEs, classical and weak solutions, shocks, hyperbolic systems, nonlinear diffusion, and elliptic equations. Unlike comparable books that typically only use formal proofs and theory to demonstrate results, An Introduction to Nonlinear Partial Differential Equations, Second Edition takes a more practical approach to nonlinear PDEs by emphasizing how the results are used, why they are important, and how they are applied to real problems. The intertwining relationship between mathematics and physical phenomena is discovered using detailed examples of applications across various areas such as biology, combustion, traffic flow, heat transfer, fluid mechanics, quantum mechanics, and the chemical reactor theory. New features of the Second Edition also include: Additional intermediate-level exercises that facilitate the development of advanced problem-solving skills New applications in the biological sciences, including age-structure, pattern formation, and the propagation of diseases An expanded bibliography that facilitates further investigation into specialized topics With individual, self-contained chapters and a broad scope of coverage that offers instructors the flexibility to design courses to meet specific objectives, An Introduction to Nonlinear Partial Differential Equations, Second Edition is an ideal text for applied mathematics courses at the upper-undergraduate and graduate levels. It also serves as a valuable resource for researchers and professionals in the fields of mathematics, biology, engineering, and physics who would like to further their knowledge of PDEs.

Nonlinear Stochastic PDEs

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Author :
Publisher : Springer
ISBN 13 :
Total Pages : 358 pages
Book Rating : 4.3/5 (91 download)

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Book Synopsis Nonlinear Stochastic PDEs by : Tadahisa Funaki

Download or read book Nonlinear Stochastic PDEs written by Tadahisa Funaki and published by Springer. This book was released on 1996 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt: This IMA Volume in Mathematics and its Applications NONLINEAR STOCHASTIC PDEs: HYDRODYNAMIC LIMIT AND BURGERS' TURBULENCE is based on the proceedings of the period of concentration on Stochas tic Methods for Nonlinear PDEs which was an integral part of the 1993- 94 IMA program on "Emerging Applications of Probability." We thank Tadahisa Funaki and Wojbor A. Woyczynski for organizing this meeting and for editing the proceedings. We also take this opportunity to thank the National Science Foundation and the Army Research Office, whose financial support made this workshop possible. A vner Friedman Willard Miller, Jr. xiii PREFACE A workshop on Nonlinear Stochastic Partial Differential Equations was held during the week of March 21 at the Institute for Mathematics and Its Applications at the University of Minnesota. It was part of the Special Year on Emerging Applications of Probability program put together by an organizing committee chaired by J. Michael Steele. The selection of topics reflected personal interests of the organizers with two areas of emphasis: the hydrodynamic limit problems and Burgers' turbulence and related models. The talks and the papers appearing in this volume reflect a number of research directions that are currently pursued in these areas.

Stochastic Ordinary and Stochastic Partial Differential Equations

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Publisher : Springer Science & Business Media
ISBN 13 : 0387743170
Total Pages : 452 pages
Book Rating : 4.3/5 (877 download)

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Book Synopsis Stochastic Ordinary and Stochastic Partial Differential Equations by : Peter Kotelenez

Download or read book Stochastic Ordinary and Stochastic Partial Differential Equations written by Peter Kotelenez and published by Springer Science & Business Media. This book was released on 2007-12-05 with total page 452 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic Partial Differential Equations analyzes mathematical models of time-dependent physical phenomena on microscopic, macroscopic and mesoscopic levels. It provides a rigorous derivation of each level from the preceding one and examines the resulting mesoscopic equations in detail. Coverage first describes the transition from the microscopic equations to the mesoscopic equations. It then covers a general system for the positions of the large particles.

Backward Stochastic Differential Equations

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Publisher : Springer
ISBN 13 : 1493972561
Total Pages : 392 pages
Book Rating : 4.4/5 (939 download)

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Book Synopsis Backward Stochastic Differential Equations by : Jianfeng Zhang

Download or read book Backward Stochastic Differential Equations written by Jianfeng Zhang and published by Springer. This book was released on 2017-08-22 with total page 392 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a systematic and accessible approach to stochastic differential equations, backward stochastic differential equations, and their connection with partial differential equations, as well as the recent development of the fully nonlinear theory, including nonlinear expectation, second order backward stochastic differential equations, and path dependent partial differential equations. Their main applications and numerical algorithms, as well as many exercises, are included. The book focuses on ideas and clarity, with most results having been solved from scratch and most theories being motivated from applications. It can be considered a starting point for junior researchers in the field, and can serve as a textbook for a two-semester graduate course in probability theory and stochastic analysis. It is also accessible for graduate students majoring in financial engineering.

Nonlinear Stochastic Evolution Problems in Applied Sciences

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Publisher : Springer Science & Business Media
ISBN 13 : 9401118205
Total Pages : 228 pages
Book Rating : 4.4/5 (11 download)

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Book Synopsis Nonlinear Stochastic Evolution Problems in Applied Sciences by : N. Bellomo

Download or read book Nonlinear Stochastic Evolution Problems in Applied Sciences written by N. Bellomo and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume deals with the analysis of nonlinear evolution problems described by partial differential equations having random or stochastic parameters. The emphasis throughout is on the actual determination of solutions, rather than on proving the existence of solutions, although mathematical proofs are given when this is necessary from an applications point of view. The content is divided into six chapters. Chapter 1 gives a general presentation of mathematical models in continuum mechanics and a description of the way in which problems are formulated. Chapter 2 deals with the problem of the evolution of an unconstrained system having random space-dependent initial conditions, but which is governed by a deterministic evolution equation. Chapter 3 deals with the initial-boundary value problem for equations with random initial and boundary conditions as well as with random parameters where the randomness is modelled by stochastic separable processes. Chapter 4 is devoted to the initial-boundary value problem for models with additional noise, which obey Ito-type partial differential equations. Chapter 5 is essential devoted to the qualitative and quantitative analysis of the chaotic behaviour of systems in continuum physics. Chapter 6 provides indications on the solution of ill-posed and inverse problems of stochastic type and suggests guidelines for future research. The volume concludes with an Appendix which gives a brief presentation of the theory of stochastic processes. Examples, applications and case studies are given throughout the book and range from those involving simple stochasticity to stochastic illposed problems. For applied mathematicians, engineers and physicists whose work involves solving stochastic problems.

Nonlinear Partial Differential Equations with Applications

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Publisher : Springer Science & Business Media
ISBN 13 : 3764373970
Total Pages : 415 pages
Book Rating : 4.7/5 (643 download)

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Book Synopsis Nonlinear Partial Differential Equations with Applications by : Tomás Roubicek

Download or read book Nonlinear Partial Differential Equations with Applications written by Tomás Roubicek and published by Springer Science & Business Media. This book was released on 2006-01-17 with total page 415 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book primarily concerns quasilinear and semilinear elliptic and parabolic partial differential equations, inequalities, and systems. The exposition quickly leads general theory to analysis of concrete equations, which have specific applications in such areas as electrically (semi-) conductive media, modeling of biological systems, and mechanical engineering. Methods of Galerkin or of Rothe are exposed in a large generality.

Stochastic Partial Differential Equations, Second Edition

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Publisher : CRC Press
ISBN 13 : 1466579552
Total Pages : 336 pages
Book Rating : 4.4/5 (665 download)

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Book Synopsis Stochastic Partial Differential Equations, Second Edition by : Pao-Liu Chow

Download or read book Stochastic Partial Differential Equations, Second Edition written by Pao-Liu Chow and published by CRC Press. This book was released on 2014-12-10 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt: Explore Theory and Techniques to Solve Physical, Biological, and Financial Problems Since the first edition was published, there has been a surge of interest in stochastic partial differential equations (PDEs) driven by the Lévy type of noise. Stochastic Partial Differential Equations, Second Edition incorporates these recent developments and improves the presentation of material. New to the Second Edition Two sections on the Lévy type of stochastic integrals and the related stochastic differential equations in finite dimensions Discussions of Poisson random fields and related stochastic integrals, the solution of a stochastic heat equation with Poisson noise, and mild solutions to linear and nonlinear parabolic equations with Poisson noises Two sections on linear and semilinear wave equations driven by the Poisson type of noises Treatment of the Poisson stochastic integral in a Hilbert space and mild solutions of stochastic evolutions with Poisson noises Revised proofs and new theorems, such as explosive solutions of stochastic reaction diffusion equations Additional applications of stochastic PDEs to population biology and finance Updated section on parabolic equations and related elliptic problems in Gauss–Sobolev spaces The book covers basic theory as well as computational and analytical techniques to solve physical, biological, and financial problems. It first presents classical concrete problems before proceeding to a unified theory of stochastic evolution equations and describing applications, such as turbulence in fluid dynamics, a spatial population growth model in a random environment, and a stochastic model in bond market theory. The author also explores the connection of stochastic PDEs to infinite-dimensional stochastic analysis.

Stochastic Parameterizing Manifolds and Non-Markovian Reduced Equations

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Publisher : Springer
ISBN 13 : 3319125206
Total Pages : 141 pages
Book Rating : 4.3/5 (191 download)

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Book Synopsis Stochastic Parameterizing Manifolds and Non-Markovian Reduced Equations by : Mickaël D. Chekroun

Download or read book Stochastic Parameterizing Manifolds and Non-Markovian Reduced Equations written by Mickaël D. Chekroun and published by Springer. This book was released on 2014-12-23 with total page 141 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this second volume, a general approach is developed to provide approximate parameterizations of the "small" scales by the "large" ones for a broad class of stochastic partial differential equations (SPDEs). This is accomplished via the concept of parameterizing manifolds (PMs), which are stochastic manifolds that improve, for a given realization of the noise, in mean square error the partial knowledge of the full SPDE solution when compared to its projection onto some resolved modes. Backward-forward systems are designed to give access to such PMs in practice. The key idea consists of representing the modes with high wave numbers as a pullback limit depending on the time-history of the modes with low wave numbers. Non-Markovian stochastic reduced systems are then derived based on such a PM approach. The reduced systems take the form of stochastic differential equations involving random coefficients that convey memory effects. The theory is illustrated on a stochastic Burgers-type equation.

Stochastic PDEs and Dynamics

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Publisher : Walter de Gruyter GmbH & Co KG
ISBN 13 : 3110492431
Total Pages : 280 pages
Book Rating : 4.1/5 (14 download)

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Book Synopsis Stochastic PDEs and Dynamics by : Boling Guo

Download or read book Stochastic PDEs and Dynamics written by Boling Guo and published by Walter de Gruyter GmbH & Co KG. This book was released on 2016-11-21 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book explains mathematical theories of a collection of stochastic partial differential equations and their dynamical behaviors. Based on probability and stochastic process, the authors discuss stochastic integrals, Ito formula and Ornstein-Uhlenbeck processes, and introduce theoretical framework for random attractors. With rigorous mathematical deduction, the book is an essential reference to mathematicians and physicists in nonlinear science. Contents: Preliminaries The stochastic integral and Itô formula OU processes and SDEs Random attractors Applications Bibliography Index

Approximation of Stochastic Invariant Manifolds

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Publisher : Springer
ISBN 13 : 331912496X
Total Pages : 136 pages
Book Rating : 4.3/5 (191 download)

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Book Synopsis Approximation of Stochastic Invariant Manifolds by : Mickaël D. Chekroun

Download or read book Approximation of Stochastic Invariant Manifolds written by Mickaël D. Chekroun and published by Springer. This book was released on 2014-12-20 with total page 136 pages. Available in PDF, EPUB and Kindle. Book excerpt: This first volume is concerned with the analytic derivation of explicit formulas for the leading-order Taylor approximations of (local) stochastic invariant manifolds associated with a broad class of nonlinear stochastic partial differential equations. These approximations take the form of Lyapunov-Perron integrals, which are further characterized in Volume II as pullback limits associated with some partially coupled backward-forward systems. This pullback characterization provides a useful interpretation of the corresponding approximating manifolds and leads to a simple framework that unifies some other approximation approaches in the literature. A self-contained survey is also included on the existence and attraction of one-parameter families of stochastic invariant manifolds, from the point of view of the theory of random dynamical systems.

Stochastic Partial Differential Equations and Related Fields

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Publisher : Springer
ISBN 13 : 3319749293
Total Pages : 565 pages
Book Rating : 4.3/5 (197 download)

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Book Synopsis Stochastic Partial Differential Equations and Related Fields by : Andreas Eberle

Download or read book Stochastic Partial Differential Equations and Related Fields written by Andreas Eberle and published by Springer. This book was released on 2018-07-03 with total page 565 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Festschrift contains five research surveys and thirty-four shorter contributions by participants of the conference ''Stochastic Partial Differential Equations and Related Fields'' hosted by the Faculty of Mathematics at Bielefeld University, October 10–14, 2016. The conference, attended by more than 140 participants, including PostDocs and PhD students, was held both to honor Michael Röckner's contributions to the field on the occasion of his 60th birthday and to bring together leading scientists and young researchers to present the current state of the art and promising future developments. Each article introduces a well-described field related to Stochastic Partial Differential Equations and Stochastic Analysis in general. In particular, the longer surveys focus on Dirichlet forms and Potential theory, the analysis of Kolmogorov operators, Fokker–Planck equations in Hilbert spaces, the theory of variational solutions to stochastic partial differential equations, singular stochastic partial differential equations and their applications in mathematical physics, as well as on the theory of regularity structures and paracontrolled distributions. The numerous research surveys make the volume especially useful for graduate students and researchers who wish to start work in the above-mentioned areas, or who want to be informed about the current state of the art.

Numerical Computations for Backward Doubly Stochastic Differential Equations and Nonlinear Stochastic PDEs

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Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (946 download)

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Book Synopsis Numerical Computations for Backward Doubly Stochastic Differential Equations and Nonlinear Stochastic PDEs by : Achref Bachouch

Download or read book Numerical Computations for Backward Doubly Stochastic Differential Equations and Nonlinear Stochastic PDEs written by Achref Bachouch and published by . This book was released on 2014 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this thesis is to study a numerical method for backward doubly stochastic differential equations (BDSDEs in short). In the last two decades, several methods were proposed to approximate solutions of standard backward stochastic differential equations. In this thesis, we propose an extension of one of these methods to the doubly stochastic framework. Our numerical method allows us to tackle a large class of nonlinear stochastic partial differential equations (SPDEs in short), thanks to their probabilistic interpretation. In the last part, we study a new particle method in the context of shielding studies.

Nonlinear Filtering and Stochastic Control

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Publisher : Springer
ISBN 13 : 3540394311
Total Pages : 310 pages
Book Rating : 4.5/5 (43 download)

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Book Synopsis Nonlinear Filtering and Stochastic Control by : S.K. Mitter

Download or read book Nonlinear Filtering and Stochastic Control written by S.K. Mitter and published by Springer. This book was released on 2006-11-15 with total page 310 pages. Available in PDF, EPUB and Kindle. Book excerpt: