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Stochastic partial differential equations

  • Peter K. Friz
  • Martin Hairer
Chapter
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Part of the Universitext book series (UTX)

Abstract

Second order stochastic partial differential equations are discussed from a rough path point of view. In the linear and finite-dimensional noise case we follow a Feynman– Kac approach which makes good use of concentration of measure results, as those obtained in Section 11.2. Alternatively, one can proceed by flow decomposition and this approach also works in a number of nonlinear situations.

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Copyright information

© Springer Nature Switzerland AG 2020

Authors and Affiliations

  • Peter K. Friz
    • 1
    • 3
  • Martin Hairer
    • 2
  1. 1.Institut für MathematikTechnische Universität BerlinBerlinGermany
  2. 2.Department of MathematicsImperial College LondonLondonUK
  3. 3.Weierstraß-Institut für Angewandte Analysis und StochastikBerlinGermany

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