Random Differential Equations in Scientific Computing

Download or read book Random Differential Equations in Scientific Computing written by Tobias Neckel and published by Walter de Gruyter. This book was released on 2013-12-17 with total page 650 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a holistic and self-contained treatment of the analysis and numerics of random differential equations from a problem-centred point of view. An interdisciplinary approach is applied by considering state-of-the-art concepts of both dynamical systems and scientific computing. The red line pervading this book is the two-fold reduction of a random partial differential equation disturbed by some external force as present in many important applications in science and engineering. First, the random partial differential equation is reduced to a set of random ordinary differential equations in the spirit of the method of lines. These are then further reduced to a family of (deterministic) ordinary differential equations. The monograph will be of benefit, not only to mathematicians, but can also be used for interdisciplinary courses in informatics and engineering.