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SPD

Seminar

Particle representations and limit theorems for stochastic partial differential equations

Kurtz, TG (Wisconsin-Madison)
Monday 29 March 2010, 14:00-15:00

Seminar Room 1, Newton Institute

Abstract

Solutions of the a large class of stochastic partial differential equations can be represented in terms of the de Finetti measure of an infinite exchangeable system of stochastic ordinary differential equations. These representations provide a tool for proving uniqueness, obtaining convergence results, and describing properties of solutions of the SPDEs. The basic tools for working with the representations will be described. Examples will include the convergence of an SPDE as the spatial correlation length of the noise vanishes, uniqueness for a class of SPDEs, and consistency of approximation methods for the classical filtering equations.

Presentation

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