Stochastic integrals for SPDEs: a comparison

DOI10.1016/J.EXMATH.2010.09.005zbMATH Open1234.60064arXiv1001.0856OpenAlexW2124633737MaRDI QIDQ533110FDOQ533110

Authors: Robert C. Dalang, Lluís Quer-Sardanyons 

Publication date: 2 May 2011

Published in: Expositiones Mathematicae (Search for Journal in Brave)

Abstract: We present the Walsh theory of stochastic integrals with respect to martingale measures, alongside of the Da Prato and Zabczyk theory of stochastic integrals with respect to Hilbert-space-valued Wiener processes and some other approaches to stochastic integration, and we explore the links between these theories. We then show how each theory can be used to study stochastic partial differential equations, with an emphasis on the stochastic heat and wave equations driven by spatially homogeneous Gaussian noise that is white in time. We compare the solutions produced by the different theories.

Full work available at URL: https://arxiv.org/abs/1001.0856

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zbMATH Keywords

stochastic partial differential equationsstochastic heat equationmartingale measurestochastic wave equationspatially homogeneous Gaussian noisestochastic integralcylindrical Wiener processHilbert-space-valued Wiener process

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic integrals (60H05)

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