Random obstacle problems. École d'Été de Probabilités de Saint-Flour XLV -- 2015 (Q510178): Difference between revisions

This book is an excellent, rigorous monograph on stochastic partial differential equations with reflections at a boundary. It is intended for readers with a good background in stochastic processes, Ito calculus, and group theory. It begins with random walks, discrete interfaces, scaling limits, the contact set in Chapter 1. The reflecting Brownian motion is treated in Chapter 2. Bessel processes and stochastic heat equation including multidimensional Brownian motion and the Ornstein-Uhlenbeck processes are covered in chapters 3 and 4. Chapter 5 deals with Obstacle problems. It includes stochastic partial differential equations with reflections, invariant measure, Strong-Feller property and extension to infinite dimensional stochastic differential equations. Integration by parts and contact set are described in Chapter 6 and 7. Engineers who struggle with numerical solutions of heat equations and Fokker-Plank equations in phase lock theory in white and colored noise will find this book useful. The author is a leading contributor to this field and has noted several open problems There are no numerical examples and Index.