Stochastic integrals for SPDEs: a comparison
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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.
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- Smoothness of the joint density for spatially homogeneous SPDEs
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- Strong solution of the stochastic Burgers equation
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- A forward-backward SDE from the 2D nonlinear stochastic heat equation
- Parabolic stochastic PDEs on bounded domains with rough initial conditions: moment and correlation bounds
- Stochastic integration with respect to the cylindrical Wiener process via regularization
- Transportation inequality for a fractional stochastic heat equation with colored noise
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- Absolute continuity of solutions to reaction-diffusion equations with multiplicative noise
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