Random Differential Equations in Scientific Computing

• Main Author: Rupp, Florian (auth)
• Other Authors: Neckel, Tobias (auth)
• Format: Electronic Book Chapter
• Language: English
• Published: De Gruyter 2013
• Subjects: dynamical systems; scientific computing; Random differential equations
• Online Access: DOAB: download the publication; DOAB: description of the publication

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.