Solving SPDEs driven by colored noise: A chaos approach

DOI10.1090/S0033-569X-08-01088-2zbMATH Open1148.60037arXiv0706.3392OpenAlexW2004329194MaRDI QIDQ3533903FDOQ3533903

K. Stemmann, S. V. Lototsky

Publication date: 24 October 2008

Published in: Quarterly of Applied Mathematics (Search for Journal in Brave)

Abstract: An Ito-Skorokhod bi-linear equation driven by infinitely many independent colored noises is considered in a normal triple of Hilbert spaces. The special feature of the equation is the appearance of the Wick product in the definition of the Ito-Skorokhod integral, requiring innovative approaches to computing the solution. A chaos expansion of the solution is derived and several truncations of this expansion are studied. A recursive approximation of the solution is suggested and the corresponding approximation error bound is computed.

Full work available at URL: https://arxiv.org/abs/0706.3392

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zbMATH Keywords

Malliavin calculusWiener chaosSkorokhod integralgeneralized random fields

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) White noise theory (60H40)

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Cited In (5)

• The numerical approximation of stochastic partial differential equations
• The Stochastic LQR Optimal Control with Fractional Brownian Motion
• SPDEs with coloured noise: Analytic and stochastic approaches
• Numerical solutions of stochastic PDEs driven by Ornstein-Uhlenbeck noise
• Title not available (Why is that?)

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