Department of Mathematics

Numerical Solution of PDEs with Stochastic Data

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Wahlfächer Diplomstudiengang Mathematik, Doktoratsstudium
Dozenten Prof. Christoph Schwab, Dr. Alexey Chernov
Ort HG E41
Zeit We 11:00-13:00h
Beginnt am 19.03.2007
Vorbesprechungen Mo 22.01.2007, 13:30-14:00h in HG G 53 and Mo 19.03.2007 at 14:15h in HG D 5.3
Kontakt Alexey Chernov
Voraussetzungen Diplomstudiengang Mathematik, Doktoratsstudium
Beschreibung Participants in the seminar will read research papers on solution techniques for partial differential and integral equations with stochastic data. Goals are to show comprehension and ability for independent study of current research literature in numerical analysis and scientific computing results related to stochastic partial differential equations.

Material will cover: wavelet-based multiresolution methods for stochastic PDEs, polynomial chaos based stochastic Galerkin methods for stochastic PDEs.
Literatur B. Oksendal, "Stochastic Differential Equations"

M. Loeve, "Probability theory"

Weitere Informationen -


May, 9 Philipp Arbenz Ito integrals B. Oksendal, "Stochastic Differential Equations"
May, 30 Andreas Goelzer The Ito formula and the martingale representation theorem B. Oksendal, "Stochastic Differential Equations"
June, 6
June, 13
Bela Bauer
Lars Bonnes
Karhunen-Loeve approximation
Karhunen-Loeve approximation of random fields by generalized fast multipole methods
M. Loeve, "Probability theory II"
Ch. Schwab, R.-A. Todor, J. Comp. Phys 217, 100--122

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