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Numerical Analysis of Stochastic Partial Differential Equations
Check in the VVZ for a current information.
Lectures begin: Wednesday, February 20, 2013
Testat requirement: 80% of exercises reasonably solved
Exam: oral, 30 minutes
| Lecturers | Annika Lang | |
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Christoph Schwab |
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Assistants |
Raphael Kruse |
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Claudia Schillings |
Office hour: Wednesday, 14-15, HG 52.1 |
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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 |
Assignments
Assignments can be turned in during the lecture. Please submit your Matlab code and figures online here and printed out.
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Assignment |
Deadline |
Solutions |
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Assignment 1 |
28 Feb 2013, 10:15 a.m. |
Solution 1 |
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Assignment 2 |
07 Mar 2013, 10:15 a.m. |
Solution 2 (corrected) |
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Assignment 3 |
14 Mar 2013, 10:15 a.m. |
Solution 3 |
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Assignment 4 |
21 Mar 2013, 10:15 a.m. |
Solution 4 (updated) |
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Assignment 5 |
28 Mar 2013, 10:15 a.m. |
Solution 5 |
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Assignment 6 |
11 Apr 2013, 10:15 a.m. |
Solution 6 |
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Assignment 7 |
02 May 2013, 10:15 a.m. |
Solution 7 (updated) |
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Assignment 8 |
08 May 2013, 10:15 a.m. |
Solution 8 |
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Assignment 9 (corrected) |
22 May 2013, 10:15 a.m. |
Solution 9 |
Mathematical and computational semester projects and Master's theses related to the course are available. Please contact one of the lecturers if you are interested.
References
Stochastic partial differential equations
- G. Da Prato and J. Zabczyk (1992)
Stochastic Equations in Infinite Dimensions
Cambridge University Press - C. Prévot and M. Röckner (2007)
A Concise Course on Stochastic Partial Differential Equations
Lecture Notes in Mathematics, Springer Berlin - A. Barth, A. Lang and Ch. Schwab (2011)
Multi-level Monte Carlo Finite Element method for parabolic stochastic partial differential equations
Sam-Report 2011-30 - A. Jentzen and P. E. Kloeden (2011)
Taylor Approximations for Stochastic Partial Differential Equations
SIAM
Random partial differential equations
- Ch. Schwab and C.J. Gittelson (2011)
Sparse tensor discretization of high-dimensional parametric and stochastic PDEs
Acta Numerica, Cambridge University Press. - T. von Petersdorff and Ch. Schwab (2006)
Sparse finite element methods for operator equations with stochastic data
Applications of Mathematics 51(2), 145-180. - R.A. Todor and Ch. Schwab (2007)
Convergence rates for sparse chaos approximations of elliptic problems with stochastic coefficients
IMA Journal of Numerical Analysis 27(2), 232-261.
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