#### An Introduction to Computational Stochastic PDEs

** Authors**

Catherine E. Powell (Manchester University)

Tony Shardlow (Bath University)

Cambridge Texts in Applied Mathematics, CUP

Hardback (ISBN: 9780521899901)

Paperback (ISBN: 9780521728522)

and eBook.

To order :

- USA : Paperback Hardback eBook from CUP.
- UK : Paperback Hardback eBook from CUP
- Amazon: UK, FR, DE, USA.

BibTex Entry from MathSciNet | Review from MathSciNet |

### Resources

####
- Converted python files from the book are available to download.
Links on left are also to the code for each chapter in Matlab.
- Slides from a minicourse on SPDEs
- Related simple codes : these also run in octave
- Finite-difference approximation in space of SPDE in 1D with
space-time white noise.

Download:
run_spde_white.m
and spde_fd_d_white.m
- Spectral-Galerkin approximation in space of Allen-Cahn equation
in 1D with noise in Sobolev Hr in space, white in time.

Download: run_spde_AC.m, spde_AC.m,

- List of known typos
- Corrected 2D noise call
get_twod_dW.m
(which properly deals with different kappa).

- Finite-difference approximation in space of SPDE in 1D with
space-time white noise.

Download: run_spde_white.m and spde_fd_d_white.m - Spectral-Galerkin approximation in space of Allen-Cahn equation
in 1D with noise in Sobolev Hr in space, white in time.

Download: run_spde_AC.m, spde_AC.m,