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Stochastic partial differential equation
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Stochastic partial differential equations (SPDEs) generalize partial differential equations via random force terms and coefficients, in the same way ordinary stochastic differential equations generalize ordinary differential equations.
They have relevance to quantum field theory, statistical mechanics, and spatial modeling.[1][2]
- ^ Prévôt, Claudia; Röckner, Michael (2007). A Concise Course on Stochastic Partial Differential Equations. Lecture Notes in Mathematics. Berlin Heidelberg: Springer-Verlag. ISBN 978-3-540-70780-6.
- ^ Krainski, Elias T.; Gómez-Rubio, Virgilio; Bakka, Haakon; Lenzi, Amanda; Castro-Camilo, Daniela; Simpson, Daniel; Lindgren, Finn; Rue, Håvard (2018). Advanced Spatial Modeling with Stochastic Partial Differential Equations Using R and INLA. Boca Raton, FL: Chapman and Hall/CRC Press. ISBN 978-1-138-36985-6.
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