Covariance structure of parabolic stochastic partial differential equations

DOI10.1007/S40072-013-0012-4zbMATH Open1306.60089arXiv1210.3447OpenAlexW1972240278WikidataQ59593855 ScholiaQ59593855MaRDI QIDQ487664FDOQ487664

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)

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.

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

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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)

Cites Work

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• Stochastic Partial Differential Equations with Levy Noise
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Cited In (9)

• Combined error estimates for local fluctuations of SPDEs
• Pre-envelope covariance differential equations for white and nonwhite input processes
• Mitigating the influence of the boundary on PDE-based covariance operators
• Isotropic Gaussian random fields on the sphere: regularity, fast simulation and stochastic partial differential 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
• Covariance structure of parabolic stochastic partial differential equations with multiplicative Lévy noise
• Euler-Maruyama approximations of the stochastic heat equation on the sphere

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