Home » Concise Course on Stochastic Partial Differencial Equations, A. Lecture Notes in Mathematics, Volume 1905. by Claudia Prevot
Concise Course on Stochastic Partial Differencial Equations, A. Lecture Notes in Mathematics, Volume 1905. Claudia Prevot

Concise Course on Stochastic Partial Differencial Equations, A. Lecture Notes in Mathematics, Volume 1905.

Claudia Prevot

Published January 10th 2010
ISBN : 9781280902161
ebook
144 pages
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 About the Book 

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 theMoreThese 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.