Random Differential Equations in Scientific Computing

by Tobias Neckel, Florian Rupp

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 consideringstate-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) ordinarydifferential equations.The monograph will be of benefit, not only to mathematicians, but can also be used for interdisciplinary courses in informatics and engineering.

650 pages, Kindle Edition

First published September 30, 2013