Introduction to SPDEs from Probability and PDE - Lecture 3 of 4

27 April 2021
Dr. Avi Mayorcas

Further Information: 

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.

The join button will be published on the right (Above the view all button) 30 minutes before the seminar starts (login required).