Stochastic partial differential equations
asymptotic behaviourfinancial mathematicsLévy-type noisemild solutionsPoisson random fieldspopulation modelsrandom environmentsstochastic integralsstochastic partial differential equations
PDEs with randomness, stochastic partial differential equations (35R60) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Processes with independent increments; Lévy processes (60G51) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Random fields (60G60) Stochastic integrals (60H05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Processes in random environments (60K37) Financial applications of other theories (91G80) Population dynamics (general) (92D25)
This is the second edition of the very well written and introductory, application-oriented book on stochastic partial differential equations (SPDEs) by P. L. Chow. Compared to the first edition [Zbl 1134.60043], the main change is adding new materials about SPDEs driven by Lévy-type noise. In Chapter 1, two sections on stochastic integrals with respect to Poisson random fields and stochastic differential equations of Lévy-type are new. Chapter 3 contains the most changes in this regard: solution of stochastic heat equation with Poisson noise, existence and regularity of mild solutions to linear equations with additive noise and the last section on nonlinear parabolic equations with Lévy-type noise. Moreover, in Chapters 5 and 6, the author considers the linear and semilinear wave equations driven by Poisson-type noises and Poisson stochastic integrals in Hilbert spaces with an analysis of mild solutions to Poisson stochastic evolution equations. The theory discussed in the previous chapters is employed in Chapter 8 to study some examples and applications. Specifically, two sections on population growth models in random environments and financial mathematics are added to this chapter.
- Stochastic partial differential equations
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- Stochastic partial differential equations. An introduction
- Stochastic Partial Differential Equations with Levy Noise
- Stochastic partial differential equations: an introduction
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- Stochastic PDEs and dynamics
- Infinite dimensional and finite dimensional stochastic equations and applications in physics
- Stochastic partial differential equations. A modeling, white noise functional approach
- On a coupled SDE-PDE system modeling acid-mediated tumor invasion
- Convergence and stability of stochastic parabolic functional differential equations
- Stochastic and deterministic constrained partial differential equations
- Strong approximation rate for Wiener process by fast oscillating integrated Ornstein-Uhlenbeck processes
- Stochastic partial differential equations for a class of interacting measure-valued diffusions
- Directed chain stochastic differential equations
- Exponential stabilization for 1-D linear Itô-type state-dependent stochastic parabolic PDE systems via static output feedback
- Analysis of a stratified Kraichnan flow
- An adaptive time-stepping method based on a posteriori weak error analysis for large SDE systems
- Some properties of space-time fractional stochastic partial differential equations with Lévy noise
- Global existence and finite time blow-up for a stochastic non-local reaction-diffusion equation
- Finite-time blow-up of a non-local stochastic parabolic problem
- Strongly convergent error analysis for a spatially semidiscrete approximation of stochastic partial differential equations with non-globally Lipschitz continuous coefficients
- Nonlinear anisotropic degenerate parabolic-hyperbolic equations with stochastic forcing
- Renormalization of stochastic continuity equations on Riemannian manifolds
- Convergence of \(p\)-th mean in an averaging principle for stochastic partial differential equations driven by fractional Brownian motion
- RVE problem: mathematical aspects and related stochastic mechanics
- Finite element methods and their error analysis for SPDEs driven by Gaussian and non-Gaussian noises
- Explosive solutions of parabolic stochastic partial differential equations with Lévy noise
- Collective stochastic dynamics of the Cucker-Smale ensemble under uncertain communication
- On the stochastic Magnus expansion and its application to SPDEs
- A stochastic age-structured HIV/AIDS model based on parameters estimation and its numerical calculation
- A nonlocal sample dependence SDE-PDE system modeling proton dynamics in a tumor
- The impact of multiplicative noise in SPDEs close to bifurcation via amplitude equations
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- On the Cauchy problem for stochastic parabolic equations in Hölder spaces
- Fully Nonlinear Stochastic Partial Differential Equations
- Three classes of nonlinear stochastic partial differential equations
- Stochastic Partial Differential Equations with Additive Gaussian Noise
- The effect of a noise on the stochastic modified Camassa-Holm equation
- Stochastic Partial Differential Equations with Levy Noise
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- Strong Convergence of a Fully Discrete Scheme for Multiplicative Noise Driving SPDEs with Non-Globally Lipschitz Continuous Coefficients
- FINITE-APPROXIMATE CONTROLLABILITY OF NONLOCAL STOCHASTIC CONTROL SYSTEMS DRIVEN BY HYBRID NOISES
- Global well-posedness of the viscous Camassa-Holm equation with gradient noise
- First-order linear Marcus SPDEs
- Strong optimal error estimates of discontinuous Galerkin method for multiplicative noise driving nonlinear <scp>SPDEs</scp>
- A dynamic capillarity equation with stochastic forcing on manifolds: A singular limit problem
- Well-posedness of stochastic continuity equations on Riemannian manifolds
- Euler-Lagrangian approach to stochastic Euler equations in Sobolev spaces
- A generalized finite element θ-scheme for backward stochastic partial differential equations and its error estimates
- Global existence of dissipative solutions to the Camassa-Holm equation with transport noise
- Optimal Feedback for Stochastic Linear Quadratic Control and Backward Stochastic Riccati Equations in Infinite Dimensions
- Lower and upper bounds for the explosion times of a system of semilinear SPDEs
- Optimal error estimates of a discontinuous Galerkin method for stochastic Allen-Cahn equation driven by multiplicative noise
- Optimal error estimates of the stochastic parabolic optimal control problem with integral state constraint
- Strong convergence of linear implicit virtual element methods for the nonlinear stochastic parabolic equation with multiplicative noise
- Optimal order space-time discretization methods for the nonlinear stochastic elastic wave equations with multiplicative noise
- Finite-dimensional observer-based boundary control for a one-dimensional stochastic heat equation
- Convergent finite difference schemes for stochastic transport equations
- Kolmogorov equations for stochastic PDEs.
- The transport equation and zero quadratic variation processes
- Convergence analysis for an implementable scheme to solve the linear-quadratic stochastic optimal control problem with stochastic wave equation
- Mixed finite element methods for the nonlinear stochastic elastodynamics equations with multiplicative noise
- Static output feedback and observer-based control design of spatial 2-D linear stochastic parabolic PDE systems
- Well-posedness and uniform large deviation principle for stochastic generalized Burgers-Huxley equation perturbed by a multiplicative noise
- Stochastic PDE model for spatial population growth in random environments
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