Title Stochastic partial differential equations : a modeling, white noise functional approach / by Helge Holden [and others]

Edition 2nd ed Published New York ; London : Springer, 2010

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Description 1 online resource (xv, 304 pages) : illustrations Series Universitext Universitext Contents Introduction -- Framework -- Applications to stochastic ordinary differential equations -- Stochastic partial differential equations driven by Brownian white noise -- Stochastic partial differential equations driven by Lévy processes Summary "The first edition of Stochastic Partial Differential Equations: A Modeling, White Noise Functional Approach, gave a comprehensive introduction to SPDEs driven by space-time Brownian motion noise. In this, the second edition, the authors extend the theory to include SPDEs driven by space-time Levy process noise, and introduce new applications of the field." "Because the authors allow the noise to be in both space and time, the solutions to SPDEs are usually of the distribution type, rather than a classical random field. To make this study rigorous and as general as possible, the discussion of SPDEs is therefore placed in the context of Hida white noise theory. The key connection between white noise theory and SPDEs is that integration with respect to Brownian random fields can be expressed as integration with respect to the Lebesgue measure of the Wick product of the integrand with Brownian white noise, and similarly with Levy processes." "Graduate students in pure and applied mathematics as well as researchers in SPDEs, physics, and engineering will find this introduction indispensible. Useful exercises are collected at the end of each chapter"--Jacket Notes Earlier edition published in 1996 by Birkhauser Boston Bibliography Includes bibliographical references and index Notes English Print version record Subject Stochastic partial differential equations. Ecuaciones en derivadas parciales estocásticas Stochastic partial differential equations Stochastische partielle Differentialgleichung Form Electronic book Author Holden, H. (Helge), 1956- LC no. 2009938826 ISBN 9780387894881 0387894888 1280391006 9781280391002 9786613568922 6613568929

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