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Introduction to stochastic partial differential equations

Mihaly Kovacs (Institutionen för matematiska vetenskaper, matematik) ; Stig Larsson (Institutionen för matematiska vetenskaper, matematik)
Publications of the ICMCS Vol. 4 (2008), p. 159-232.
[Konferensbidrag, refereegranskat]

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.


Proceedings of ''New Directions in the Mathematical and Computer Sciences'', National Universities Commission, Abuja, Nigeria, October 8-12, 2007.



Denna post skapades 2011-10-19. Senast ändrad 2017-11-29.
CPL Pubid: 147448

 

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Institutioner (Chalmers)

Institutionen för matematiska vetenskaper, matematik (2005-2016)

Ämnesområden

Tillämpad matematik

Chalmers infrastruktur