Structure: 4 x 1.5hr Lectures
Lecture 3: Variational Approach to Parabolic SPDE
- Itˆo’s formula in Hilbert spaces
- Variational approach to monotone, coercive SPDE
- Concrete examples
The course will aim to provide an introduction to stochastic PDEs from the classical perspective, that being a mixture of stochastic analysis and PDE analysis. We will focus in particular on the variational approach to semi-linear parabolic problems, `a la Lions. There will also be comments on other models and approaches.
Suggested Pre-requisites: The course is broadly aimed at graduate students with some knowledge of PDE theory and/or stochastic analysis. Familiarity with measure theory and functional analysis will be useful.
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