Presents the main topics of interest in the field of stochastic partial differential equations (SPDEs), emphasizing breakthroughs and such basic issues as the role of SPDEs in stochastic modeling, how SPDEs arise, and how their theory is applied in different disciplines. Emphasis is placed on the genesis and applications of SPDEs, as well as mathematical theory and numerical methods. Suitable for graduate level students, researchers. Annotation copyrighted by Book News, Inc., Portland, OR

This title contains lectures that offer an introduction to modern topics in stochastic partial differential equations and bring together experts whose research is centered on the interface between Gaussian analysis, stochastic analysis, and stochastic PDEs.

Comprehensive monograph by two leading international experts; includes applications to statistical and fluid mechanics and to finance.

The general area of stochastic PDEs is interesting to mathematicians because it contains an enormous number of challenging open problems. There is also a great deal of interest in this topic because it has deep applications in disciplines that range from applied mathematics, statistical mechanics, and theoretical physics, to theoretical neuroscience, theory of complex chemical reactions [including polymer science], fluid dynamics, and mathematical finance. The stochastic PDEs that are studied in this book are similar to the familiar PDE for heat in a thin rod, but with the additional restriction that the external forcing density is a two-parameter stochastic process, or what is more commonly the case, the forcing is a "random noise," also known as a "generalized random field." At several points in the lectures, there are examples that highlight the phenomenon that stochastic PDEs are not a subset of PDEs. In fact, the introduction of noise in some partial differential equations can bring about not a small perturbation, but truly fundamental changes to the system that the underlying PDE is attempting to describe. The topics covered include a brief introduction to the stochastic heat equation, structure theory for the linear stochastic heat equation, and an in-depth look at intermittency properties of the solution to semilinear stochastic heat equations. Specific topics include stochastic integrals à la Norbert Wiener, an infinite-dimensional Itô-type stochastic integral, an example of a parabolic Anderson model, and intermittency fronts. There are many possible approaches to stochastic PDEs. The selection of topics and techniques presented here are informed by the guiding example of the stochastic heat equation. A co-publication of the AMS and CBMS.

Stochastic Partial Differential Equations analyzes mathematical models of time-dependent physical phenomena on microscopic, macroscopic and mesoscopic levels. It provides a rigorous derivation of each level from the preceding one and examines the resulting mesoscopic equations in detail. Coverage first describes the transition from the microscopic equations to the mesoscopic equations. It then covers a general system for the positions of the large particles.

Effective Dynamics of Stochastic Partial Differential Equations focuses on stochastic partial differential equations with slow and fast time scales, or large and small spatial scales. The authors have developed basic techniques, such as averaging, slow manifolds, and homogenization, to extract effective dynamics from these stochastic partial differential equations. The authors' experience both as researchers and teachers enable them to convert current research on extracting effective dynamics of stochastic partial differential equations into concise and comprehensive chapters. The book helps readers by providing an accessible introduction to probability tools in Hilbert space and basics of stochastic partial differential equations. Each chapter also includes exercises and problems to enhance comprehension. - New techniques for extracting effective dynamics of infinite dimensional dynamical systems under uncertainty - Accessible introduction to probability tools in Hilbert space and basics of stochastic partial differential equations - Solutions or hints to all Exercises

Stochastic partial differential equations (SPDEs, for short) are the mathematical models of choice for space time evolutions corrupted by noise. Although in many settings it is known that the resulting SPDEs have a unique solution, in general, this solution is not given explicitly. Thus, in order to make those mathematical models ready to use for real life applications, appropriate numerical algorithms are needed. To increase efficiency, it would be tempting to design suitable adaptive schemes based, e.g., on wavelets. However, it is not a priori clear whether such adaptive strategies can outperform well-established uniform alternatives. Their theoretical justification requires a rigorous regularity analysis in so-called non-linear approximation scales of Besov spaces. In this thesis the regularity of (semi-)linear second order SPDEs of Itô type on general bounded Lipschitz domains is analysed. The non-linear approximation scales of Besov spaces are used to measure the regularity with respect to the space variable, the time regularity being measured first in terms of integrability and afterwards in terms of Hölder norms. In particular, it is shown that in specific situations the spatial Besov regularity of the solution in the non-linear approximation scales is generically higher than its corresponding classical Sobolev regularity. This indicates that it is worth developing spatially adaptive wavelet methods for solving SPDEs instead of using uniform alternatives.

Based on the proceedings of the International Conference on Stochastic Partial Differential Equations and Applications-V held in Trento, Italy, this illuminating reference presents applications in filtering theory, stochastic quantization, quantum probability, and mathematical finance and identifies paths for future research in the field. Stochastic Partial Differential Equations and Applications analyzes recent developments in the study of quantum random fields, control theory, white noise, and fluid dynamics. It presents precise conditions for nontrivial and well-defined scattering, new Gaussian noise terms, models depicting the asymptotic behavior of evolution equations, and solutions to filtering dilemmas in signal processing. With contributions from more than 40 leading experts in the field, Stochastic Partial Differential Equations and Applications is an excellent resource for pure and applied mathematicians; numerical analysts; mathematical physicists; geometers; economists; probabilists; computer scientists; control, electrical, and electronics engineers; and upper-level undergraduate and graduate students in these disciplines.

This book covers numerical methods for stochastic partial differential equations with white noise using the framework of Wong-Zakai approximation. The book begins with some motivational and background material in the introductory chapters and is divided into three parts. Part I covers numerical stochastic ordinary differential equations. Here the authors start with numerical methods for SDEs with delay using the Wong-Zakai approximation and finite difference in time. Part II covers temporal white noise. Here the authors consider SPDEs as PDEs driven by white noise, where discretization of white noise (Brownian motion) leads to PDEs with smooth noise, which can then be treated by numerical methods for PDEs. In this part, recursive algorithms based on Wiener chaos expansion and stochastic collocation methods are presented for linear stochastic advection-diffusion-reaction equations. In addition, stochastic Euler equations are exploited as an application of stochastic collocation methods, where a numerical comparison with other integration methods in random space is made. Part III covers spatial white noise. Here the authors discuss numerical methods for nonlinear elliptic equations as well as other equations with additive noise. Numerical methods for SPDEs with multiplicative noise are also discussed using the Wiener chaos expansion method. In addition, some SPDEs driven by non-Gaussian white noise are discussed and some model reduction methods (based on Wick-Malliavin calculus) are presented for generalized polynomial chaos expansion methods. Powerful techniques are provided for solving stochastic partial differential equations. This book can be considered as self-contained. Necessary background knowledge is presented in the appendices. Basic knowledge of probability theory and stochastic calculus is presented in Appendix A. In Appendix B some semi-analytical methods for SPDEs are presented. In Appendix C an introduction to Gauss quadrature is provided. In Appendix D, all the conclusions which are needed for proofs are presented, and in Appendix E a method to compute the convergence rate empirically is included. In addition, the authors provide a thorough review of the topics, both theoretical and computational exercises in the book with practical discussion of the effectiveness of the methods. Supporting Matlab files are made available to help illustrate some of the concepts further. Bibliographic notes are included at the end of each chapter. This book serves as a reference for graduate students and researchers in the mathematical sciences who would like to understand state-of-the-art numerical methods for stochastic partial differential equations with white noise.

The study of measure-valued processes in random environments has seen some intensive research activities in recent years whereby interesting nonlinear stochastic partial differential equations (SPDEs) were derived. Due to the nonlinearity and the non-Lipschitz continuity of their coefficients, new techniques and concepts have recently been developed for the study of such SPDEs. These include the conditional Laplace transform technique, the conditional mild solution, and the bridge between SPDEs and some kind of backward stochastic differential equations. This volume provides an introduction to these topics with the aim of attracting more researchers into this exciting and young area of research. It can be considered as the first book of its kind. The tools introduced and developed for the study of measure-valued processes in random environments can be used in a much broader area of nonlinear SPDEs.