Covariance structure of parabolic stochastic partial differential equations
Preprint, 2012

In this paper parabolic random partial differential equations and parabolic stochastic partial differential equations driven by a Wiener process are considered. A deterministic, tensorized evolution equation for the second moment and the covariance of the solutions of the parabolic stochastic partial differential equations is derived. Well-posedness of a space-time weak variational formulation of this tensorized equation is established.

Wiener process

tensorized

stochastic partial differential equation

covarariance

Författare

Annika Lang

Stig Larsson

Chalmers, Matematiska vetenskaper, Matematik

Göteborgs universitet

Christoph Schwab

Fundament

Grundläggande vetenskaper

Ämneskategorier

Sannolikhetsteori och statistik