ETH :: D-MATH :: Numerical Analysis of Stochastic PDEs

Lecturer	Arnulf Jentzen
Assistant	Ryan Kurniawan Primoz Pusnik (Office hour: Thursday, 14-15, HG G 56.2)
Time and Place	Wednesday, 10:15 a.m. - 11:55 a.m., HG G 26.3
	Thursday, 10:15 a.m. - 11:55 a.m., HG G 26.3
Link to course catalogue

Current version of the lecture notes (September 14th Version)

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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