Stochastic partial differential equations (Q2360277): Difference between revisions

The objective of this textbook is to discuss as much of the SPDE-related material as possible without going too much into the details, and to prepare the reader for independent research in this area. Most of the book is about linear equations. The book consists of six chapters. Chapter I contains useful background, including, e.g., Fourier transform, Jensen inequality and Burkholder-Davis-Gundy inequality, and also the description of some sources of SPDEs: biology, classical probability, economics and finance, engineering and physics. In Chapter 2, the authors survey the basic ideas in the theory of stochastic processes and deterministic partial differential equations, including the Kolmogorov criterion for continuity of a random field and different notions of solution of a differential equation. Then, a collection of stochastic partial differential equations both linear and non-linear, that admit a closed-form solution, is presented. Chapter 3 provides further background in functional analysis and infinite-dimensional stochastic analysis that is necessary for the development of the general theory of SPDEs. Chapter 4 presents the core material of the book. All three main types of equations (elliptic, hyperbolic, and parabolic) are discussed in some detail, together with the standard material (method of characteristic, change of variables, Zakai equation) related to parabolic equations. Chapter 5 reflects the research interests of the authors and presents an alternative approach to SPDEs using a Fourier-type series expansion in the space of random variables. This approach makes it possible to greatly enlarge the class of admissible equations and leads to a new type of numerical methods for such equations. Chapter 6 that is titled ``Parameter estimation for diagonal SPDEs'', is another example of a topic of special interest to the authors. From the point of view of statistical inference, a stochastic parabolic equation can lead to a model with independent but not identically distributed observations, which, in turn, produces new asymptotic behavior of the corresponding estimators and some interesting mathematics. The book contains a lot of exercises that are called problems, with subsequent discussion. The presentation is self-contained. In general, the book is beautifully presented and can be recommended for anybody who starts and continues with SPDEs, especially for undergraduate and postgraduate students, researchers and practitioners.