A concise course on stochastic partial differential equations

DOI10.1007/978-3-540-70781-3zbMath1123.60001OpenAlexW609699901MaRDI QIDQ2369708

Claudia Prévôt, Michael Roeckner

Publication date: 19 June 2007

Published in: Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-70781-3

zbMATH Keywords

textbookstochastic partial differential equationsinvariant measureItô formulavariational solutionsweak monotonicity

Mathematics Subject Classification ID

Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) PDEs with randomness, stochastic partial differential equations (35R60) Stochastic analysis (60Hxx)

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Equations ⋮ Three-dimensional stochastic Navier–Stokes equations with Markov switching ⋮ Well-posedness of the Dean-Kawasaki and the nonlinear Dawson-Watanabe equation with correlated noise ⋮ Term structure modeling under volatility uncertainty ⋮ Hierarchical sparse observation models and informative prior for Bayesian inference of spatially varying parameters ⋮ Numerical study for time fractional stochastic semi linear advection diffusion equations ⋮ Approximations of McKean-Vlasov stochastic differential equations with irregular coefficients ⋮ Stochastic evolution equations driven by cylindrical stable noise ⋮ An averaging principle for slow-fast fractional stochastic parabolic equations on unbounded domains ⋮ Intrinsic Riemannian functional data analysis for sparse longitudinal observations ⋮ Wong-Zakai approximation and support theorem for 2D and 3D stochastic convective Brinkman-Forchheimer equations ⋮ Global existence, blow-up and stability for a stochastic transport equation with non-local velocity ⋮ Error estimates of the backward Euler-Maruyama method for multi-valued stochastic differential equations ⋮ Homogenization of stochastic conservation laws with multiplicative noise ⋮ A charge-preserving compact splitting method for solving the coupled stochastic nonlinear Schrödinger equations ⋮ Martingale solutions of stochastic nonlocal cross-diffusion systems ⋮ On weak martingale solutions to a stochastic Allen-Cahn-Navier-Stokes model with inertial effects ⋮ A fully discrete mixed finite element method for the stochastic Cahn-Hilliard equation with gradient-type multiplicative noise ⋮ Spatial convergence for semi-linear backward stochastic differential equations in Hilbert space: a mild approach ⋮ 2D stochastic chemotaxis-Navier-Stokes system ⋮ Nonlinear diffusion equations with nonlinear gradient noise ⋮ On a perturbation theory and on strong convergence rates for stochastic ordinary and partial differential equations with nonglobally monotone coefficients ⋮ Strong convergence of a stochastic Rosenbrock-type scheme for the finite element discretization of semilinear SPDEs driven by multiplicative and additive noise ⋮ Magnus-type integrator for non-autonomous SPDEs driven by multiplicative noise ⋮ A descriptive definition of the backwards Itô-Henstock integral ⋮ Double Lusin condition and convergence theorems for the backwards Itô-Henstock integral ⋮ A full-discrete exponential Euler approximation of the invariant measure for parabolic stochastic partial differential equations ⋮ Review of local and global existence results for stochastic PDEs with Lévy noise ⋮ On the bidomain equations driven by stochastic forces ⋮ Singular control of SPDEs with space-mean dynamics ⋮ Large deviation principle for a class of SPDE with locally monotone coefficients ⋮ Global existence of martingale solutions and large time behavior for a 3D stochastic nonlocal Cahn-Hilliard-Navier-Stokes systems with shear dependent viscosity ⋮ Fractional stochastic active scalar equations generalizing the multi-dimensional quasi-geostrophic \& 2D-Navier-Stokes equations: the general case ⋮ Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks ⋮ Large deviations for stochastic porous media equation on general measure spaces ⋮ Optimal strong convergence rates of numerical methods for semilinear parabolic SPDE driven by Gaussian noise and Poisson random measure ⋮ On sub-geometric ergodicity of diffusion processes ⋮ White noise differential equations for vector-valued white noise functionals ⋮ On the stochastic Dullin-Gottwald-Holm equation: global existence and wave-breaking phenomena ⋮ Strongly convergent error analysis for a spatially semidiscrete approximation of stochastic partial differential equations with non-globally Lipschitz continuous coefficients ⋮ Travelling waves for reaction-diffusion equations forced by translation invariant noise ⋮ Supercritical Poincaré-Andronov-Hopf bifurcation in a mean-field quantum laser equation ⋮ Numerical solution of the neural field equation in the presence of random disturbance ⋮ An adaptive Euler-Maruyama scheme for Mckean-Vlasov SDEs with super-linear growth and application to the mean-field Fitzhugh-Nagumo model ⋮ Existence and uniqueness of weak solution to a three-dimensional stochastic modified-Leray-alpha model of fluid turbulence ⋮ Diffusion-approximation for a kinetic equation with perturbed velocity redistribution process ⋮ Optimal control results for a class of stochastic Schrödinger equations ⋮ Stability analysis of semilinear stochastic differential equations ⋮ Multi-scale analysis of SPDEs with degenerate additive noise ⋮ Fokker-Planck equations for SPDE with non-trace-class noise ⋮ Necessary and sufficient conditions for path-independence of Girsanov transformation for infinite-dimensional stochastic evolution equations ⋮ Yosida approximations for multivalued stochastic partial differential equations driven by Lévy noise on a Gelfand triple ⋮ Finite time extinction for stochastic sign fast diffusion and self-organized criticality ⋮ Averaging principle for stochastic Korteweg-de Vries equation ⋮ Numerical solutions to time-fractional stochastic partial differential equations ⋮ Global martingale solutions for a stochastic population cross-diffusion system ⋮ Local martingale and pathwise solutions for an abstract fluids model ⋮ Stochastically forced cardiac bidomain model ⋮ Backwards Itô-Henstock's version of Itô's formula ⋮ Iterated stochastic integrals in infinite dimensions: approximation and error estimates ⋮ On a doubly nonlinear PDE with stochastic perturbation ⋮ Stochastic analysis \& discrete quantum systems ⋮ Local and global existence of pathwise solution for the stochastic Boussinesq equations with multiplicative noises ⋮ On Itô formulas for jump processes ⋮ Electro-rheological fluids under random influences: martingale and strong solutions ⋮ Periodic, almost periodic and almost automorphic solutions for SPDEs with monotone coefficients ⋮ Stochastic equations of the viscous barotropic gas ⋮ Stochastic evolution equations with singular drift and gradient noise via curvature and commutation conditions ⋮ Multilevel Picard iterations for solving smooth semilinear parabolic heat equations ⋮ Stochastic generalized porous media equations driven by Lévy noise with increasing Lipschitz nonlinearities ⋮ Stochastic Burgers type equations with reflection: existence, uniqueness ⋮ Variational solutions to nonlinear stochastic differential equations in Hilbert spaces ⋮ The Neumann problem for a Barenblatt equation with a multiplicative stochastic force and a nonlinear source term ⋮ On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations ⋮ Adaptive concepts for stochastic partial differential equations ⋮ Weak pullback attractors for stochastic Ginzburg-Landau equations in Bochner spaces ⋮ Rigorous mean-field limit and cross-diffusion ⋮ A new approach to the existence of invariant measures for Markovian semigroups ⋮ Finite-time singularity of the stochastic harmonic map flow ⋮ Stochastic heat equations with logarithmic nonlinearity ⋮ Solution to a stochastic 3D nonlocal Cahn-Hilliard-Navier-Stokes model with shear dependent viscosity via a splitting-up method ⋮ Porous media equations with multiplicative space-time white noise ⋮ Noise effect in a stochastic generalized Camassa-Holm equation ⋮ Quasi-linear SPDEs in divergence form ⋮ Real-time estimation and prediction of unsteady flows using reduced-order models coupled with few measurements ⋮ Finite element methods and their error analysis for SPDEs driven by Gaussian and non-Gaussian noises ⋮ A modified semi-implicit Euler-Maruyama scheme for finite element discretization of SPDEs with additive noise ⋮ Weak pullback attractors for mean random dynamical systems in Bochner spaces ⋮ Diffusion limit for the random walk Metropolis algorithm out of stationarity ⋮ Supremum estimates for degenerate, quasilinear stochastic partial differential equations ⋮ A note on stochastic semilinear equations and their associated Fokker-Planck equations ⋮ \(L^p\)-strong solutions of stochastic partial differential equations with monotonic drifts ⋮ Loss of regularity for Kolmogorov equations ⋮ Finite-dimensional representations for controlled diffusions with delay ⋮ On the existence of the dual right Markov process and applications ⋮ A stochastic heat equation with nonlinear dissipation on the boundary ⋮ A Milstein scheme for SPDEs ⋮ Sub and supercritical stochastic quasi-geostrophic equation ⋮ Convergence analysis of multilevel Monte Carlo variance estimators and application for random obstacle problems ⋮ An approximation scheme for reflected stochastic differential equations with non-Lipschitzian coefficients ⋮ Stochastic Navier-Stokes equations in unbounded channel domains ⋮ Wasserstein-based methods for convergence complexity analysis of MCMC with applications ⋮ Existence and regularity results for stochastic fractional pseudo-parabolic equations driven by white noise