Taylor Approximations for Stochastic Partial Differential Equations

Arnulf Jentzen is appointed as a Visiting Fellow in the Department of Applied and Computational Mathematics at Princeton University. His research focuses on analytical and numerical aspects of stochastic differential equations with non-globally Lipschitz continuous nonlinearities. Peter E. Kloeden is a Professor of Applied and Instrumental Mathematics at Goethe University, Frankfurt am Main. He is a Fellow both of SIAM and of the Australian Mathematical Society. He was awarded the W. T. and Idalia Reid Prize in Mathematics by SIAM in 2006 for his fundamental contributions to the theoretical and computational analysis of differential equations.

• PrefaceList of FiguresChapter 1: IntroductionPart I: Random and Stochastic Ordinary Partial Differential EquationsChapter 2: RODEsChapter 3: SODEsChapter 4: SODEs with Nonstandard AssumptionsPart II: Stochastic Partial Differential EquationsChapter 5: SPDEsChapter 6: Numerical Methods for SPDEsChapter 7: Taylor Approximations for SPDEs with Additive NoiseChapter 8: Taylor Approximations for SPDEs with Multiplicative NoiseAppendix: Regularity Estimates for SPDEsBibliographyIndex.