A Concise Course on Stochastic Partial Differential Equations
By addebook • Jun 28th, 2008 • Category: Mathematics •
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A Concise Course on Stochastic Partial Differential Equations (Lecture Notes in Mathematics)
By Claudia Prévôt, Michael Röckner,
Publisher: Springer
Number Of Pages: 148
Publication Date: 2007-07
Sales Rank: 3606459
ISBN / ASIN: 3540707808
EAN: 9783540707806
Binding: Paperback
Manufacturer: Springer
Studio: Springer
Book Description:
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 easilyread.freeduan.com 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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