Stochastic ordinary and stochastic partial differential equations. Transition from microscopic to macroscopic equations. (Q2467870)

The monography under review presents mathematical models for physical dynamical systems of particle and mass evolution on different levels: a microsopic level of deterministic individual particle interactions governed by Newton mechanics, a first mesoscopic level of stochastically forced individual large particles, a second mesoscopic level of a stochastic evolution of mass distributions and finally the macroscopic level of deterministic mass distributions. So far known, this is the first rigorous derivation of mesoscopic and macroscopic equations derived from a deterministic microscopic system of infinitely many coupled nonlinear oscillators, where finitely many are supposed to be ``large'' in opposition to infinitely many ``small'' ones. For growing large particle friction and respectivly larger small particle speed this converges to a system of stochastic ordinary differential equations (SODEs) for individual large particles. It is shown that in the limit the (large) particle solutions are Brownian motions, that become correlated below some threshold of mutual distance, the correlation distance \(\epsilon\). For more and more large particles the solution of those huge SODEs can be extended to continuity, to the solution of some measure valued quasilinear stochastic partial differential equation (SPDE), still depending on the correlation distance \(\epsilon\). As \(\epsilon\rightarrow 0\) the solution of the SPDE converge finally weakly towards the solution of a quasilinear parabolic partial differential equation (PDE). This enterprise gives finally rigorous mathematical meaning to the old intuition, present in the physical community since the days of Einstein. This mathematical result also seems to put an end the old philosophical dispute about the justification of probability. Neither we have to ``bet'' about future events, as in the Bayesian approach, which leads to subjective laws of conviction and not what is commonly understood to be sciences, nor there has to be a ``real'' random generator on a microscopic level, relying e.g. on quantum effects, which destroys any concept of causality. Here instead, stochastics emerge as a natural limiting description of the influence of other scales, may they be probabilistic or not. The identification result for the solution of the SODEs as correlated Brownian motions explains most naturally the experimental depletion phenomenon observed for colloids, that when they are very close they seem to ``shadow'' each other against the small particle bombardement. The theory of SODEs and quasilinear SPDES is presented in detail in several chapters. The author shows that for semilinear parabolic SPDEs with coefficients that do not depend on the solution can be represented as first-order stochastic transport equations driven by Stratonovich differentials. Especially interesting is Chapter 13 presenting the classification of SPDEs first by formal aspect and then by major fields of applications giving an impressive historic overview and a review of the state of the art of research for the different types. The bibliography with way more than 270 references is a strong statement in this respect. Although the highly sophisticated subject has some extremely technical aspects, the author always makes great efforts to explain and motivate the notions and methods, to combine results and to evoke intuition without loosing rigour. Extremely helpful are the exellent summaries at the beginning of each chapter. The coherence and the composition are examplary and crystal clear, the range of topics covered remains breathtaking. The appendix provides a lot of needed results, ranging from basics in analysis and functional analysis, infinite-dimensional stochastic analysis and mechanics. This monography is a highly impressive result of many years of concise scientific studies on SODEs, SPDEs and mathematical physics. I warmly recommend this book for scientific and personal enlightenment to graduate students with a strong background in stochastic analysis and partial differential equations, as well as to mathematical scientists in mathematical physics, theoretical physics and mathematical biology.