Introduction to Stochastic Partial Differential Equations
Presenter
August 24, 2015
Keywords:
- KPZ
- reaction-diffusion
- Burger's equation
- Brownian motion, Wiener process
- definition of Ito integral
- linear heat equation
MSC:
- 35R60
- 60G05
- 60H05
- 60Hxx
- 65C30
- 60H15
- 60Gxx
Abstract
After a presentation of white noise and stochastic calculus in infinite dimension, I will explain how to solve classical SPDEs with white noise. I will focus on the stochastic Burgers and reaction-diffusion equations which will be first solved with spatially smooth noise and then with space time white noise. The case of the reaction-diffusion equation in dimension 2 is already not so obvious since the solutions are not expected to be function valued processes. The case of dimension 3 is much more difficult and has been solved only recently by Martin Hairer. I will not explain in details his theory on regularity structure, this would take too much time. However, I will explain why the problem is so difficult and give few hints on this difficult theory. No prerequisite on stochastic calculus is expected from the audience.