Random fields and stochastic partial differential equations

Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Random fields (60G60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Random fields; image analysis (62M40)

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This book deals with the boundary value problems for stochastic partial differential equations \({\partial u\over\partial t}(t,x)=Lu(t,x)+\zeta (t,x)\) in multidimensional domains, where \(L\) is a linear differential operator and \(\zeta (t,x)\) is a stochastic perturbation. For many interesting problems \(\zeta\) is a space-time white noise and therefore it is natural to interpret \(\zeta\) as a distribution-valued process and to understand the above equation in the generalized sense even if the solution may be later identified with a function-valued process (which is the case in the present book). This approach allows the author to formulate the problem of existence and uniqueness of solutions for a large class of stochastic PDE's in a unified way. This is the main feature which distinguishes this book among other monographs of this topic, like \textit{G. Da Prato} and \textit{J. Zabczyk} [``Stochastic equations in infinite dimensions (1992; Zbl 0761.60052)], \textit{W. Grecksch} and \textit{C. Tudor} [``Stochastic evolution equations: A Hilbert space approach (1995; Zbl 0831.60069)], \textit{M. Métivier} [``Stochastic partial differential equations in infinite dimensional spaces (1988; Zbl 0664.60062)], \textit{B. L. Rozovskij} [``Stochastic evolution systems: Linear theory and applications to nonlinear filtering (1990; Zbl 0724.60070)]. All these monographs are devoted to stochastic evolution equations. The notable exception is \textit{H. Holden, B. Øksendal, J. Ubøe} and \textit{T. Zhang} [``Stochastic partial differential equations: A modeling, white noise functional approach (1996; Zbl 0860.60045)], where some stationary stochastic PDE's are studied as equations in spaces of distributions which are, however, defined in a very different way. The book consists of three parts of approximately equal size. The first part provides an introduction to the theory of distributions and Sobolev spaces. The second part deals with boundary conditions for typical stochastic PDE's like stochastic Laplace, wave and heat equations. The idea of the semigroup approach to stochastic equations of parabolic type is briefly presented. In the last part the Markov property of solutions, in the sense of McKean, is investigated. This concept is applied to study the prediction and identification problems for solutions of stochastic PDE's. To give a better idea of the content of this book let us finish with the sample titles from the Content: Gaussian random fields, The Sobolev spaces, Random Schwartz distributions, Stochastic Sobolev spaces, Stochastic Dirichlet problem, Generalized differential equations, Boundary conditions for generalized differential equations, Stochastic string equation, Stochastic Laplace equation, Boundary conditions for stochastic evolution equations, Hyperellipticity, Extensions of solutions and negligible singularities, Forecast problem, Global Markov property, Identification of coefficients, Estimation of the mean value in stochastic differential equations, Pseudo-best estimators, The method of least squares and the consistency condition.

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