A short introduction to Stochastic PDEs

Charles-Edouard Bréhier 1, 2
2 MATHERIALS - MATHematics for MatERIALS
CERMICS - Centre d'Enseignement et de Recherche en Mathématiques et Calcul Scientifique, Inria Paris-Rocquencourt, ENPC - École des Ponts ParisTech
Abstract : The main two aims of these lecture notes are: a definition of the space-time white noise and the study of second-order stochastic evolution equations of parabolic type. The main points are the regularity properties, in time and in space, of the solutions. A few results on the numerical approximation are also given at the end. The content is based on the lectures delivered at CERMICS in March 2014.
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Submitted on : Monday, June 2, 2014 - 6:56:47 PM
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Charles-Edouard Bréhier. A short introduction to Stochastic PDEs. 2014. ⟨hal-00973887v2⟩

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