A concise course on stochastic partial differential equations
As the title promises these 150 page lecture notes provide ``A Concise Course on Stochastic Partial Differential Equations, more precisely, an introdution to nonlinear stochastic partial differential equations (SPDEs) of evolutionary type with respect to a given cylindrical Wiener process. The amount of material comprises somewhat more than a one semester course and requires knownledge of an advanced course in probability theory and basics of functional analysis. After a short motivation in Chapter 1, the following section is entirely dedicated to the construction of Wiener processes and cylindrical Wiener processes on Hilbert spaces as well as to their integration theory, respectively. In Chapter 3 an existence and uniqueness result for stochastic differential equations in finite dimensions is worked out in detail under very general local weak monotonicity and coercivity conditions on the coefficients. After these propaedeutic expositions the authors come to the heart of this book, the investigation of a class of stochastic partial differential equations, that covers most of the motivating examples like nonlinear reaction diffusion equations and with particular emphasis the porous medium equation. In a first step the authors discuss the ensemble of conditions on the coefficients, followed by the statement of an Itô formula and its application in order to proof the existence and uniqueness of variational solutions for the previously mentioned class of SPDEs. The closure of this account is the proof of the Markov property and existence of an invariant measure. This monograph is an elegantly and economically written first introduction to the field and meets the expectations of the title entirely. A great advantage of this account is its wide self-containance of the plot, the completeness of all proofs, as well as a nice overview over the different notions of solutions of SPDEs culminating in the Yamada-Watanabe theorem entirely proven in the appendix. This book might be particularly helpful for graduate students and young researchers to get acquainted with this sophisticated area of research.
- Pathwise Taylor schemes for random ordinary differential equations
- Martingale solutions and Markov selections for stochastic partial differential equations
- Existence of strong solutions for stochastic porous media equation under general monotonicity conditions
- On the stochastic \(p\)-Laplace equation
- Pathwise numerical approximations of SPDEs with additive noise under non-global Lipschitz coefficients
- On the convergence of a stochastic 3D globally modified two-phase flow model
- Strong solutions for a stochastic model of two-dimensional second grade fluids driven by Lévy noise
- Maximum principle for an optimal control problem associated to a SPDE with nonlinear boundary conditions
- Stochastic stabilization of slender beams in space: modeling and boundary control
- On the regularity of weak solutions to space-time fractional stochastic heat equations
- Numerical approximation of stochastic evolution equations: convergence in scale of Hilbert spaces
- Stability of the overdamped Langevin equation in double-well potential
- The stochastic 3D globally modified Navier-Stokes equations: existence, uniqueness and asymptotic behavior
- Itô formula for processes taking values in intersection of finitely many Banach spaces
- Uniqueness for a class of stochastic Fokker-Planck and porous media equations
- Stochastic Allen-Cahn equation with mobility
- Doubly probabilistic representation for the stochastic porous media type equation
- Local martingale solutions to the stochastic two layer shallow water equations with multiplicative white noise
- Approximation of forward curve models in commodity markets with arbitrage-free finite-dimensional models
- Entropy solutions for stochastic porous media equations
- Error estimates of finite element methods for nonlinear fractional stochastic differential equations
- A descriptive definition of the Itô-Henstock integral for the operator-valued stochastic process
- Singular stochastic Allen-Cahn equations with dynamic boundary conditions
- A stochastic generalized Ginzburg-Landau equation driven by jump noise
- A simplified Milstein scheme for SPDEs with multiplicative noise
- Instability, rupture and fluctuations in thin liquid films: theory and computations
- Well-posedness of nonlinear diffusion equations with nonlinear, conservative noise
- Strong convergence analysis of the stochastic exponential Rosenbrock scheme for the finite element discretization of semilinear SPDEs driven by multiplicative and additive noise
- Convergence of the solution of the stochastic 3D globally modified Cahn-Hilliard-Navier-Stokes equations
- Measure-valued solutions of the continuity equation with a random potential
- Lattice approximation to the dynamical \(\Phi_{3}^{4}\) model
- Stochastic control for mean-field stochastic partial differential equations with jumps
- Stochastic porous media equations in \(\mathbb R^d\)
- Viscosity limit and deviations principles for a grade-two fluid driven by multiplicative noise
- SPDEs with colored Gaussian noise: a survey
- Strong solutions for stochastic partial differential equations of gradient type
- Global well-posedness of the stochastic generalized Kuramoto-Sivashinsky equation with multiplicative noise
- A weak space-time formulation for the linear stochastic heat equation
- Averaging principle for stochastic Kuramoto-Sivashinsky equation with a fast oscillation
- Wong-Zakai approximation and support theorem for SPDEs with locally monotone coefficients
- Estimates for the ergodic measure and polynomial stability of plane stochastic curve shortening flow
- Some refinements of existence results for SPDEs driven by Wiener processes and Poisson random measures
- A Runge-Kutta type scheme for nonlinear stochastic partial differential equations with multiplicative trace class noise
- Milstein approximation for advection-diffusion equations driven by multiplicative noncontinuous martingale noises
- Random attractors for degenerate stochastic partial differential equations
- Harnack inequality for semilinear SPDE with multiplicative noise
- The Itō integral with respect to an infinite dimensional Lévy process: a series approach
- Hyperbolic type stochastic evolution equations with Lévy noise
- Stochastic Navier-Stokes equations with artificial compressibility in random durations
- Rescaling approach for a stochastic population dynamics equation perturbed by a linear multiplicative Gaussian noise
- Combined error estimates for local fluctuations of SPDEs
- Double Lusin condition and Vitali convergence theorem for the Itô-McShane integral
- Boundary layer analysis for the stochastic nonlinear reaction-diffusion equations
- Galerkin finite element method for time-fractional stochastic diffusion equations
- The Euler equations of an inviscid incompressible fluid driven by a Lévy noise
- Existence, uniqueness, and regularity for stochastic evolution equations with irregular initial values
- A Galerkin finite element method for time-fractional stochastic heat equation
- Existence for nonlinear finite dimensional stochastic differential equations of subgradient type
- Forward and backward mean-field stochastic partial differential equation and optimal control
- Solution properties of a 3D stochastic Euler fluid equation
- Stochastic exponential integrator for finite element spatial discretization of stochastic elastic equation
- Strong convergence of the linear implicit Euler method for the finite element discretization of semilinear SPDEs driven by multiplicative or additive noise
- Strong convergence of the linear implicit Euler method for the finite element discretization of semilinear non-autonomous SPDEs driven by multiplicative or additive noise
- Pathwise convergence of an efficient scheme for SPDEs with non-globally Lipschitz nonlinearity
- Stochastic averaging for a class of two-time-scale systems of stochastic partial differential equations
- Functional SPDE with multiplicative noise and Dini drift
- A solution theory for a general class of SPDEs
- Regularity theory for nonlinear systems of SPDEs
- Asymptotic couplings by reflection and applications for nonlinear monotone SPDEs
- Large deviation principles of obstacle problems for quasilinear stochastic PDEs
- Stochastic MHD equations with fractional kinematic dissipation and partial magnetic diffusion in \(\mathbb{R}^2\)
- Weak convergence rates for an explicit full-discretization of stochastic Allen-Cahn equation with additive noise
- Harnack and shift Harnack inequalities for degenerate (functional) stochastic partial differential equations with singular drifts
- Weak convergence rates for Euler-type approximations of semilinear stochastic evolution equations with nonlinear diffusion coefficients
- Spatial Sobolev regularity for stochastic Burgers equations with additive trace class noise
- Existence and linear approximation for the stochastic 3D magnetohydrodynamic-alpha model
- Variational solutions of stochastic partial differential equations with cylindrical Lévy noise
- Weak pullback mean random attractors for non-autonomous \(p\)-Laplacian equations
- On initial value and terminal value problems for subdiffusive stochastic Rayleigh-Stokes equation
- Sub-critical and critical stochastic quasi-geostrophic equations with infinite delay
- Invariant measures and global well posedness for the SQG equation
- Global martingale solutions for quasilinear SPDEs via the boundedness-by-entropy method
- Large deviations for stochastic porous media equations
- Nonlinear stochastic parabolic partial differential equations with a monotone operator of the Ladyzenskaya-Smagorinsky type, driven by a Lévy noise
- The stochastic viscous Cahn-Hilliard equation: well-posedness, regularity and vanishing viscosity limit
- Optimal strong convergence rates of some Euler-type timestepping schemes for the finite element discretization SPDEs driven by additive fractional Brownian motion and Poisson random measure
- A local-in-time theory for singular SDEs with applications to fluid models with transport noise
- On Itô formulas for jump processes
- Periodic, almost periodic and almost automorphic solutions for SPDEs with monotone coefficients
- Multilevel Picard iterations for solving smooth semilinear parabolic heat equations
- Stochastic generalized porous media equations driven by Lévy noise with increasing Lipschitz nonlinearities
- Weak pullback attractors for stochastic Ginzburg-Landau equations in Bochner spaces
- 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
- Real-time estimation and prediction of unsteady flows using reduced-order models coupled with few measurements
- An approximation scheme for reflected stochastic differential equations with non-Lipschitzian coefficients
- 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
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