Covariance structure of parabolic stochastic partial differential equations

DOI10.1007/S40072-013-0012-4MaRDI QIDQ487664zbMATHOpenAlexWikidataFDO

Authors Annika Lang, Stig Larsson, Christoph Schwab

Publication date 23 January 2015

Published in Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1210.3447

zbMATH Keywords

covariancestochastic partial differential equationsweak variational solutions

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Ultraparabolic equations, pseudoparabolic equations, etc. (35K70) PDEs with randomness, stochastic partial differential equations (35R60)

Abstract: In this paper parabolic random partial differential equations and parabolic stochastic partial differential equations driven by a Wiener process are considered. A deterministic, tensorized evolution equation for the second moment and the covariance of the solutions of the parabolic stochastic partial differential equations is derived. Well-posedness of a space-time weak variational formulation of this tensorized equation is established.

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Cites work

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Cited in

(10)

• Constructing continuous stationary covariances as limits of the second-order stochastic difference equations
• Monte Carlo convergence rates for \(k\)th moments in Banach spaces
• Numerical approximation and simulation of the stochastic wave equation on the sphere
• Numerical methods for the deterministic second moment equation of parabolic stochastic PDEs
• Combined error estimates for local fluctuations of SPDEs
• Pre-envelope covariance differential equations for white and nonwhite input processes
• Isotropic Gaussian random fields on the sphere: regularity, fast simulation and stochastic partial differential equations
• Covariance structure of parabolic stochastic partial differential equations with multiplicative Lévy noise
• Mitigating the influence of the boundary on PDE-based covariance operators
• Euler-Maruyama approximations of the stochastic heat equation on the sphere

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