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Stochastic Analysis: A Series of LecturesStochastic PDE from the Point of View of Particle Systems and Duality

Stochastic Analysis: A Series of Lectures: Stochastic PDE from the Point of View of Particle... [We give an informal introduction to some results about parabolic stochastic partial differential equations (SPDE). Our main tool is to view solutions in terms of particle systems. Then we can use classical tools from particle systems such as duality. This gives us uniqueness for several equations. We also explore the connection between SPDE and superprocesses, which are branching particle systems with infinitesimally small particles. Finally, we give an outline of some recent results based on these methods.] http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png

Stochastic Analysis: A Series of LecturesStochastic PDE from the Point of View of Particle Systems and Duality

Part of the Progress in Probability Book Series (volume 68)
Editors: Dalang, Robert C.; Dozzi, Marco; Flandoli, Franco; Russo, Francesco
Mueller, Carl
Stochastic Analysis: A Series of Lectures — May 15, 2015
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References (1)

Publisher
Springer Basel
Copyright
© Springer Basel 2015
ISBN
978-3-0348-0908-5
Pages
271 –295
DOI
10.1007/978-3-0348-0909-2_10
Publisher site
See Chapter on Publisher Site

Abstract

[We give an informal introduction to some results about parabolic stochastic partial differential equations (SPDE). Our main tool is to view solutions in terms of particle systems. Then we can use classical tools from particle systems such as duality. This gives us uniqueness for several equations. We also explore the connection between SPDE and superprocesses, which are branching particle systems with infinitesimally small particles. Finally, we give an outline of some recent results based on these methods.]

Published: May 15, 2015

Keywords: Heat equation; white noise; stochastic partial differential equations; Primary, 60H15; Secondary, 35R60; 35K05

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