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Stochastic Partial Differential Equations: A Modeling, White Noise Functional Approach (Probability and its Applications) - Hardcover
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The main emphasis of this work is on stochastic partial differential equations. First the stochastic Poisson equation and the stochastic transport equation are discussed; then the authors go on to deal with the Schrodinger equation, the heat equation, the nonlinear Burgers' equation with a stochastic source, and the pressure equation. The white noise approach often allows for solutions given by explicit formulas in terms of expectations of certain auxiliary processes. The noise in the above examples are all of a Gaussian white noise type. In the end, the authors also show how to adapt the analysis to SPDEs involving noise of Poissonian type.
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- VerlagBirkhauser Verlag AG
- Erscheinungsdatum1996
- ISBN 10 3764339284
- ISBN 13 9783764339289
- EinbandTapa dura
- Anzahl der Seiten231
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Stochastic Partial Differential Equations : A Modeling, White Noise Functional Approach
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Buchbeschreibung Buch. Zustand: Neu. Druck auf Anfrage Neuware - Printed after ordering - This book is based on research that, to a large extent, started around 1990, when a research project on fluid flow in stochastic reservoirs was initiated by a group including some of us with the support of VISTA, a research coopera tion between the Norwegian Academy of Science and Letters and Den norske stats oljeselskap A.S. (Statoil). The purpose of the project was to use stochastic partial differential equations (SPDEs) to describe the flow of fluid in a medium where some of the parameters, e.g., the permeability, were stochastic or 'noisy'. We soon realized that the theory of SPDEs at the time was insufficient to handle such equations. Therefore it became our aim to develop a new mathematically rigorous theory that satisfied the following conditions. 1) The theory should be physically meaningful and realistic, and the corre sponding solutions should make sense physically and should be useful in applications. 2) The theory should be general enough to handle many of the interesting SPDEs that occur in reservoir theory and related areas. 3) The theory should be strong and efficient enough to allow us to solve th,~se SPDEs explicitly, or at least provide algorithms or approximations for the solutions. Artikel-Nr. 9783764339289
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