Claudia Prévôt, Michael Röckner

A Concise Course on Stochastic Partial Differential Equations (eBook, PDF)

• Format: PDF

Produktbeschreibung

These lectures concentrate on (nonlinear) stochastic partial differential equations (SPDE) of evolutionary type. All kinds of dynamics with stochastic influence in nature or man-made complex systems can be modelled by such equations. To keep the technicalities minimal we confine ourselves to the case where the noise term is given by a stochastic integral w.r.t. a cylindrical Wiener process.But all results can be easily generalized to SPDE with more general noises such as, for instance, stochastic integral w.r.t. a continuous local martingale.

There are basically three approaches to analyze SPDE: the "martingale measure approach", the "mild solution approach" and the "variational approach". The purpose of these notes is to give a concise and as self-contained as possible an introduction to the "variational approach". A large part of necessary background material, such as definitions and results from the theory of Hilbert spaces, are included in appendices.

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Produktdetails

• Verlag: Springer Berlin Heidelberg
• Seitenzahl: 148
• Erscheinungstermin: 26. Mai 2007
• Englisch
• ISBN-13: 9783540707813
• Artikelnr.: 44127499