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.

Preface; List of figures; 1. Introduction; Part I. Random and Stochastic Ordinary Partial Differential Equations: 2. RODEs; 3. SODEs; 4. SODEs with nonstandard assumptions; Part II. Stochastic Partial Differential Equations: 5. SPDEs; 6. Numerical methods for SPDEs; 7. Taylor approximations for SPDEs with additive noise; 8. Taylor approximations for SPDEs with multiplicative noise; Appendix: regularity estimates for SPDEs; Bibliography; Index.