Richard Bass : Uniqueness in law for parabolic SPDEs and infinite dimensional SDEs
We consider the heat equation on an interval with heat being introduced according to a random mechanism. When the random mechanism is space-time white noise, this equation has been much studied. We look at the case where the white noise is modified by a function A(u)(x) of the current temperatures u and where A is H\"older continuous as a function of u. Unlike other work along these lines, A(u)(x) can depend on the temperatures throughout the interval. Our method involves looking at the Fourier coefficients, which leads to an infinite dimensional system of stochastic differential equations. This is joint work with Ed Perkins.
- Category: Probability
- Duration: 01:34:55
- Date: April 7, 2011 at 4:10 PM
- Tags: seminar, Probability Seminar