Introduction to stochastic partial differential equations
Paper i proceeding, 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.

Författare

Mihaly Kovacs

Göteborgs universitet

Chalmers, Matematiska vetenskaper, Matematik

Stig Larsson

Göteborgs universitet

Chalmers, Matematiska vetenskaper, Matematik

Publications of the ICMCS

Vol. 4 159-232

Ämneskategorier

Beräkningsmatematik

Fundament

Grundläggande vetenskaper

ISBN

978-37246-3-0

Mer information

Skapat

2017-10-07