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Stochastic Partial Differential Equation - Wikipedia

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58 views3 pages

Stochastic Partial Differential Equation - Wikipedia

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Abraham
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Stochastic partial differential equation

Stochastic partial differential equations (SPDEs) generalize partial differential equations via
random force terms and coefficients, in the same way ordinary stochastic differential equations
generalize ordinary differential equations.

They have relevance to quantum field theory, statistical mechanics, and spatial modeling.[1][2]

Contents
Examples
Discussion
See also
References
Further reading
External links

Examples
One of the most studied SPDEs is the stochastic heat equation, which may formally be written as

where is the Laplacian and denotes space-time white noise. Other examples also include stochastic
versions of famous linear equations, such as wave equation and Schrödinger equation.

Discussion
One difficulty is their lack of regularity. In one dimensional space, solutions to the stochastic heat
equation are only almost 1/2-Hölder continuous in space and 1/4-Hölder continuous in time. For
dimensions two and higher, solutions are not even function-valued, but can be made sense of as random
distributions.

For linear equations, one can usually find a mild solution via semigroup techniques.[3]

However, problems start to appear when considering a non-linear equations. For example

where is a polynomial. In this case it is not even clear how one should make sense of the equation.
Such equation will also not have function-valued solution, hence, no pointwise meaning. It is well known
that the space of distributions has no product structure. This is the core problem of such theory. This
leads to the need of some form of renormalization.
An early attempt to circumvent such problems for some specific equations was the so called da Pratto-
Debusche trick which involved studying such non-linear equations as perturbations of linear ones.
However, this can only in very restrictive settings, as it depends on both the non-linear factor and on the
regularity of the driving noise term. In recent years, the field has drastically expanded, and now there
exists a large machinery to guarantee local existence for a variety of sub-critical SPDE's.

See also
Brownian surface
Kardar–Parisi–Zhang equation
Kushner equation
Malliavin calculus
Wick product
Zakai equation

References
1. Prévôt, Claudia; Röckner, Michael (2007). A Concise Course on Stochastic Partial Differential
Equations (https://www.springer.com/gp/book/9783540707806). Lecture Notes in Mathematics.
Berlin Heidelberg: Springer-Verlag. ISBN 978-3-540-70780-6.
2. Krainski, Elias T.; Gómez-Rubio, Virgilio; Bakka, Haakon; Lenzi, Amanda; Castro-Camilo, Daniela;
Simpson, Daniel; Lindgren, Finn; Rue, Håvard (2018). Advanced Spatial Modeling with Stochastic
Partial Differential Equations Using R and INLA (https://www.crcpress.com/Advanced-Spatial-Modeli
ng-with-Stochastic-Partial-Differential-Equations/Krainski-Gomez-Rubio-Bakka-Lenzi-Castro-Camilo-
Simpson-Lindgren-Rue/p/book/9781138369856). Boca Raton, FL: Chapman and Hall/CRC Press.
ISBN 978-1-138-36985-6.
3. Walsh, John B. (1986). Carmona, René; Kesten, Harry; Walsh, John B.; Hennequin, P. L. (eds.). "An
introduction to stochastic partial differential equations". École d'Été de Probabilités de Saint Flour
XIV - 1984. Lecture Notes in Mathematics. Springer Berlin Heidelberg. 1180: 265–439.
doi:10.1007/bfb0074920 (https://doi.org/10.1007%2Fbfb0074920). hdl:10338.dmlcz/126035 (https://h
dl.handle.net/10338.dmlcz%2F126035). ISBN 978-3-540-39781-6.

Further reading
Holden, H.; Øksendal, B.; Ubøe, J.; Zhang, T. (2010). Stochastic Partial Differential Equations: A
Modeling, White Noise Functional Approach. Universitext (2nd ed.). New York: Springer.
doi:10.1007/978-0-387-89488-1 (https://doi.org/10.1007%2F978-0-387-89488-1). ISBN 978-0-387-
89487-4.

External links
"A Minicourse on Stochastic Partial Differential Equations" (https://web.math.rochester.edu/people/fa
culty/cmlr/Preprints/Utah-Summer-School.pdf) (PDF). 2006.
Hairer, Martin (2009). "An Introduction to Stochastic PDEs". arXiv:0907.4178 (https://arxiv.org/abs/09
07.4178).

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