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Random Fields and Stochastic Partial Differential Equations

✍ Scribed by Yu. A. Rozanov (auth.)


Publisher
Springer Netherlands
Year
1998
Tongue
English
Leaves
236
Series
Mathematics and Its Applications 438
Edition
1
Category
Library

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✦ Synopsis


This book considers some models described by means of partial difΒ­ ferential equations and boundary conditions with chaotic stochastic disturbance. In a framework of stochastic Partial Differential EquaΒ­ tions an approach is suggested to generalize solutions of stochastic Boundary Problems. The main topic concerns probabilistic aspects with applications to well-known Random Fields models which are representative for the corresponding stochastic Sobolev spaces. {The term "stochastic" in general indicates involvement of appropriate random elements. ) It assumes certain knowledge in general Analysis and Probability {Hilbert space methods, Schwartz distributions, Fourier transform) . I A very general description of the main problems considered can be given as follows. Suppose, we are considering a random field ~ in a region T ~ Rd which is associated with a chaotic (stochastic) source"' by means of the differential equation (*) in T. A typical chaotic source can be represented by an appropriΒ­ ate random field"' with independent values, i. e. , generalized random function"' = ( cp, 'TJ), cp E C~(T), with independent random variables ( cp, 'fJ) for any test functions cp with disjoint supports. The property of having independent values implies a certain "roughness" of the ranΒ­ dom field "' which can only be treated functionally as a very irregular Schwarz distribution. With the lack of a proper development of nonΒ­ linear analyses for generalized functions, let us limit ourselves to the 1 For related material see, for example, J. L. Lions, E.

✦ Table of Contents


Front Matter....Pages i-4
Random Fields and Stochastic Sobolev Spaces....Pages 5-83
Differential Equations for Generalized Random Functions....Pages 85-166
Random Fields Associated with Partial Differential Equations....Pages 167-191
Gaussian Random Fields....Pages 193-229
Back Matter....Pages 231-232

✦ Subjects


Probability Theory and Stochastic Processes; Partial Differential Equations


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