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A Class of Stochastic Differential Equations

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Part of the Lecture Notes in Mathematics book series (LNM,volume 1905)

In this chapter we will present one specific method to solve stochastic differential equations in infinite-dimensional spaces, known as the variational approach. The main criterion for this approach to work is that the coefficients satisfy certain monotonicity assumptions. As the main references for Subsection 4.2 we mention [RRW06] and [KR79], but also one should check the references therein.

Keywords

  • Invariant Measure
  • Wiener Process
  • Markov Property
  • Separable Hilbert Space
  • Porous Medium Equation

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© 2007 Springer-Verlag Berlin Heidelberg

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(2007). A Class of Stochastic Differential Equations. In: A Concise Course on Stochastic Partial Differential Equations. Lecture Notes in Mathematics, vol 1905. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-70781-3_4

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