Introduction to stochastic partial differential equations
Paper in proceedings, 2008

We introduce the Hilbert space-valued Wiener process and the corresponding stochastic integral of Ito type. This is then used together with semigroup theory to obtain existence and uniqueness of weak solutions of linear and semilinear stochastic evolution problems in Hilbert space. Finally, this abstract theory is applied to the linear heat and wave equations driven by additive noise.

Author

Mihaly Kovacs

University of Gothenburg

Chalmers, Mathematical Sciences, Mathematics

Stig Larsson

University of Gothenburg

Chalmers, Mathematical Sciences, Mathematics

Publications of the ICMCS

Vol. 4 159-232

Subject Categories

Computational Mathematics

Roots

Basic sciences

ISBN

978-37246-3-0

More information

Created

10/7/2017