University of Duisburg-Essen
Faculty of mathematics, Campus Essen
Prof. Martin Hutzenthaler (martin (dot) hutzenthaler 'at' due (dot) de)
Dr. Petru Cioica-Licht (petru (dot) cioica-licht 'at' due (dot) de)

März 2019

Lecture with exercises (4SWS, 6ECTS) in the Summer term 2019
Lecture: Mondays 14.15-16.00 (room WSC-S-U-4.02)
Wednesdays 14.15-16.00 (room WSC-S-U-4.02)

Stochastic partial differential equations


Target audience:
This lecture is an in-depth module stochastics (Vertiefungsmodul Stochastik) for the master's programme (6ECTS). The work load is about 180 hours (60 hours of presence time).


Begin:
The first lecture will be on Monday, April 8th, 2019.

Content:

  1. Infinite-dimensional stochastic integral
  2. definition and properties of the infinite-dimensional analog of Itô's lemma
  3. Stochastic partial differential equations
  4. Examples of second order SPDEs; strong, mild and weak solutions; existence, uniqueness and regularity of mild solutions;
  5. Approximations of SPDEs
  6. Space, noise and time discretizations of SPDEs converging in the strong sense.

Requirements:
Students are required to be familiar with the lectures 'Wahrscheinlichkeitstheorie 1' and 'Wahrscheinlichkeitstheorie 2' (or its contents, e.g., through Klenke's book 'Probability theory') and are required to be familiar with the stochastic Itô's intgral, e.g., through the lecture 'stochastic differential equations'.

Exercises:
You will find all exercise sheets on the moodle course page.

Moodle course:
There is a moodle course on which everyone should register. News and messages will be sent over this moodle platform.

Language:
The language both in the lecture and in the exercises will be English or - if preferred - German.


Literature: