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Stochastic partial differential equations: a rough path view
| dc.contributor.author | Diehl, Joscha | |
| dc.contributor.author | Friz, Peter K. | |
| dc.contributor.author | Stannat, Wilhelm | |
| dc.date.accessioned | 2016-06-24T05:45:10Z | |
| dc.date.available | 2019-06-28T08:07:19Z | |
| dc.date.issued | 2014 | |
| dc.description.abstract | We discuss regular and weak solutions to rough partial differential equations (RPDEs), thereby providing a (rough path-)wise view on important classes of SPDEs. In contrast to many previous works on RPDEs, our definition gives honest meaning to RPDEs as integral equation, based on which we are able to obtain existence, uniqueness and stability results. The case of weak "rough" forward equations, may be seen as robustification of the (measure-valued) Zakai equation in the rough path sense. Feynman-Kac representation for RPDEs, in formal analogy to similar classical results in SPDE theory, play an important role. | eng |
| dc.description.version | publishedVersion | eng |
| dc.identifier.uri | https://oa.tib.eu/renate/handle/123456789/2491 | |
| dc.language.iso | eng | eng |
| dc.publisher | Cambridge : arXiv | eng |
| dc.relation.uri | http://arxiv.org/abs/1412.6557v1 | |
| dc.rights.license | This document may be downloaded, read, stored and printed for your own use within the limits of § 53 UrhG but it may not be distributed via the internet or passed on to external parties. | eng |
| dc.rights.license | Dieses Dokument darf im Rahmen von § 53 UrhG zum eigenen Gebrauch kostenfrei heruntergeladen, gelesen, gespeichert und ausgedruckt, aber nicht im Internet bereitgestellt oder an Außenstehende weitergegeben werden. | ger |
| dc.subject.ddc | 510 | eng |
| dc.subject.other | Stochastic partial differential equations | eng |
| dc.subject.other | Zakai equation | eng |
| dc.subject.other | Feynman-Kac formula | eng |
| dc.subject.other | rough partial differential equations | eng |
| dc.subject.other | rough paths | eng |
| dc.title | Stochastic partial differential equations: a rough path view | eng |
| dc.type | Report | eng |
| dc.type | Text | eng |
| tib.accessRights | openAccess | eng |
| wgl.contributor | WIAS | eng |
| wgl.subject | Mathematik | eng |
| wgl.type | Report / Forschungsbericht / Arbeitspapier | eng |