APMA 2811Z Stochastic Partial Differential Equations: Theory and Numerics
APMA 2811Z lecture note
lecture notes 1 (Introduction)
lecture notes 2 (Gaussian processes)
lecture notes 3 (Stochastic calculus)
lecture notes 4 (Numerical SODEs)
lecture notes 5 (Connections to SPDEs)
lecture notes 6 (Solutions to SPDEs)
lecture notes 7 (Stochastic elliptic equations)
lecture notes 8 (Stochastic parabolic equations, I)
lecture notes 9 (Stochastic parabolic equations, II)
Stochastic integration in infinite dimensions
lecture notes 10 (Stochastic parabolic equations, III)
lecture notes 11 (Stochastic wave equations)
lecture notes 12 (Parameter estimation for SPDEs)
New England Numerical Analysis Day 2019 will be held on Saturday, April 13, 2019 at Worcester Polytechnic Institute.
A short course on numerical methods for stochastic partial differential equations was delivered at BISEC (Beijing Institute for Scientific and Engineering Computing) from August 4 to August 8, 2018.
My book (with G. E. Karniadakis) Numerical methods for stochastic partial differential equations with white noise has been published with Springer in September 2017! Click to see it at Springer or Sample chapters .