A Concise Course on Stochastic Partial Differential Equations

by Claudia Prevot, Michael Röckner

These lectures concentrate on (nonlinear) stochastic partial differential equations (SPDE) of evolutionary type. There are three approaches to analyze the "martingale measure approach", the "mild solution approach" and the "variational approach". The purpose of these notes is to give a concise and as self-contained as possible an introduction to the "variational approach". A large part of necessary background material is included in appendices.

154 pages, Paperback

First published July 20, 2007