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Covariance structure of parabolic stochastic partial differential equations

Annika Lang ; Stig Larsson (Institutionen för matematiska vetenskaper, matematik) ; Christoph Schwab
(2012)
[Preprint]

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.

Nyckelord: Wiener process, covarariance, tensorized, stochastic partial differential equation



Denna post skapades 2012-10-17. Senast ändrad 2014-09-02.
CPL Pubid: 164798

 

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Institutioner (Chalmers)

Institutionen för matematiska vetenskaper, matematik (2005-2016)

Ämnesområden

Sannolikhetsteori och statistik

Chalmers infrastruktur