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Numerical Analysis of Stochastic Partial Differential Equations
Lectures begin: Wednesday, February 23
Testat requirement: 70% of exercises reasonably solved
Exam: oral, 30 minutes
| Lecturers |
Andrea Barth |
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Claude Gittelson | |
| Lectures |
Wednesday, 10:15 a.m. - 11:55 a.m., HG G 26.3 |
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Thursday, 10:15 a.m. - 11:55 a.m., HG G 26.3 |
Problem Sets
Problem sets can be turned in during the lecture or at HG G 56.1.
|
Problem Set |
Deadline |
Solution |
|
Problem Set 0 |
Thursday, March 3, 2011 |
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Problem Set 1 |
Thursday, March 10, 2011 |
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Problem Set 2 |
Thursday, March 17, 2011 |
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Problem Set 3 |
Thursday, March 24, 2011 |
Matlab codes |
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Problem Set 4, Matlab codes |
Thursday, March 31, 2011 |
Matlab codes |
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Problem Set 5 |
Thursday, April 7, 2011 | |
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Problem Set 6 |
Thursday, April 14, 2011 |
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Problem Set 7, Matlab codes |
Thursday, April 21, 2011 |
Matlab codes |
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Problem Set 8, Matlab codes |
Thursday, May 5, 2011 |
Matlab codes |
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Problem Set 9 |
Thursday, May 12, 2011 |
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Problem Set 10, Matlab codes |
Thursday, May 19, 2011 |
Matlab codes |
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Problem Set 11 |
Thursday, May 26, 2011 |
Matlab codes |
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Problem Set 12 |
none |
Mathematical and computational semester projects and Master's theses related to the course are available. Please contact one of the lecturers or Prof. Christoph Schwab if you are interested.
References
Probability distributions on function spaces
- G. da Prato (2006)
Introduction to infinite dimensional analysis
Springer Universitext
Stochastic analysis
- S. Prevot and M. Rockner (2007)
A concise course on stochastic partial differential equations
Lecture Notes in Mathematics, Springer Berlin - G. da Prato and J. Zabczyk (1992)
Stochastic equations in infinite dimensions
Cambridge University Press
Numerical methods
- Ch. Schwab and C.J. Gittelson (2011)
Sparse tensor discretization of high-dimensional parametric and stochastic PDEs
Acta Numerica, Cambridge University Press. - T. von Petersdorff and Ch. Schwab (2006)
Sparse finite element methods for operator equations with stochastic data
Applications of Mathematics 51(2), 145-180. - R.A. Todor and Ch. Schwab (2007)
Convergence rates for sparse chaos approximations of elliptic problems with stochastic coefficients
IMA Journal of Numerical Analysis 27(2), 232-261.
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