Solving SPDEs driven by colored noise: A chaos approach

DOI10.1090/S0033-569X-08-01088-2MaRDI QIDQ3533903zbMATH OpenOpenAlexFDO

Authors K. Stemmann, S. V. Lototsky

Publication date 24 October 2008

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

Full work available at URL https://arxiv.org/abs/0706.3392, http://www.ams.org/distribution/qam/2008-66-03/S0033-569X-08-01088-2/home.html

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)

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.

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