Introduction to stochastic partial differential equations
Magazine article, 2008

We introduce the Hilbert space-valued Wiener process and the corresponding stochastic integral of It\^o 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

Chalmers, Mathematical Sciences, Mathematics

University of Gothenburg

Stig Larsson

University of Gothenburg

Chalmers, Mathematical Sciences, Mathematics

Publications of the ICMCS

Subject Categories

Probability Theory and Statistics

Mathematical Analysis

More information

Latest update

12/13/2018