SNF Prodoc Minicourses on Numerics: Numerical Solution of Inverse Problems and of Stochastic PDEs

Modules:

Stig Larsson (Chalmers): Stochastic Evolution PDEs: Existence and Regularity

October 9, 10:00 - 12:00 and October 11, 10:00 - 12:00 at HG G 43 Download (Slides) (PDF, 471 KB)

Andrew Stuart (Warwick): Bayesian Inverse Problems and Data Assimilation in PDEs

October 30, 10:00 - 12:00 and November 1, 10:00 - 12:00 at HG D 16.2 Download (Revised lecture notes) (PDF, 929 KB)

Arnulf Jentzen (ETH Zürich): Numerical Analysis of Nonlinear Stochastic Differential Equations

November 6, 10:00 - 12:00 at HG D 16.2
November 8, 10:00 - 12:00 at HG D 16.2
November 20, 10:00 - 12:00 at HG G 43
November 22, 10:00 - 12:00 at HG G 43

Stig Larsson (Chalmers): Stochastic Evolution PDEs: Finite Element Methods

December 4, 10:00 - 12:00 and December 6, 10:00 - 12:00 at HG G 43 Download (Slides) (PDF, 424 KB)

Outline and Content

The course will address the mathematical formulation and the numerical analysis of stochastic partial differential equations (sPDEs). Emphasis will be on time-dependent PDEs driven by noise. In particular Q-Wiener noise will be considered. Both direct and inverse problems will be addressed.
Background required for following this course will be: Numerical Analysis of Elliptic and Parabolic PDEs, course in Probability Theory, course in Functional Analysis. Background in stochastic processes will be useful.


See also the website of the Seminar for Applied Mathematics (SAM)