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Numerical Analysis of Stochastic Partial Differential Equations
Check in the VVZ for a current information.
Lectures begin: Wednesday, February 19, 2014
Exam: oral, 30 minutes
| Lecturer |
Arnulf Jentzen |
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Assistant |
Sonja Cox (Office hour: Wednesday, 14-15, HG G 53.2) |
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Time and Place |
Wednesday, 10:15 a.m. - 11:55 a.m., HG G 26.3 |
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Thursday, 10:15 a.m. - 11:55 a.m., HG G 26.3 |
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Link to course catalogue |
Current version of the lecture notes (Version of May 26th)
Assignments
Assignments can be turned in during the lecture or in the designated mailbox in the anteroom HG G 53.x.
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Assignment |
Deadline | Selected solutions |
| Assignment 1: Ex. 1.1.8, 1.1.19, 1.3.15 and 1.4.41 | 11 March 2014 (Tuesday) | |
| Assignment 2: Ex. 1.4.42, 1.4.43, 2.1.8, 2.1.9 | 18 March 2014 (Tuesday) | Solutions Assignment 2 |
| Assignment 3: Ex. 2.5.12, 2.5.15, 2.5.24, 2.5.30 | 25 March 2014 (Tuesday) | Solutions Assignment 3 |
| Assignment 4: Ex. 3.1.6, 3.1.7, 3.1.8 | 1 April 2014 (Tuesday, no kidding) | Solutions Assignment 4 |
| Assignment 5: Ex. 4.2.21, 4.3.6, 4.3.18, 4.3.21, and 4.3.24 (in the Lecture Notes of April 10th) | 15 April 2014 (Tuesday) | Solutions Assignment 5 |
| Assignment 6: Ex.4.3.31, 6.1.10, 6.1.12 (MATLAB exercise!), 7.1.7 (in the Lecture Notes of May 22nd) | 29 May 2014 (Thursday) | |
Mathematical and computational semester projects and Master's theses related to the course are available. Please contact the lecturer if you are interested.
References
- G. Da Prato and J. Zabczyk (1992)
Stochastic Equations in Infinite Dimensions
Cambridge University Press - A. Jentzen and P. E. Kloeden (2011)
Taylor Approximations for Stochastic Partial Differential Equations
SIAM - P.E. Kloeden and E. Platen (1992)
Numerical Solution of Stochastic Differential Equations
Springer Verlag - C. Prévot and M. Röckner (2007)
A Concise Course on Stochastic Partial Differential Equations
Lecture Notes in Mathematics, Springer Berlin - V. Thomée (2006)
Galerkin Finite Element Methods for Parabolic Problems
Springer Verlag
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