A Minicourse on Stochastic Partial Differential Equations

In May 2006, The University of Utah hosted an NSF-funded minicourse on stochastic partial differential equations. The goal of this minicourse was to introduce graduate students and recent Ph.D.s to various modern topics in stochastic PDEs, and to bring to

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Lecture Notes in Mathematics

1

Robert Dalang Davar Khoshnevisan Carl Mueller

David Nualart Yimin Xiao

A Minicourse on Stochastic Partial Differential Equations

1962

A Minicourse on Stochastic

Editors: Davar Khoshnevisan Firas Rassoul-Agha

123

Lecture Notes in Mathematics Editors: J.-M. Morel, Cachan F. Takens, Groningen B. Teissier, Paris

1962

Robert Dalang · Davar Khoshnevisan · Carl Mueller David Nualart · Yimin Xiao

A Minicourse on Stochastic Partial Differential Equations Editors: Davar Khoshnevisan Firas Rassoul-Agha

123

Authors and Editors Robert C. Dalang

Davar Khoshnevisan

Institut de Mathématiques Ecole Polytechnique Fédérale de Lausanne Station 8 1015 Lausanne Switzerland [email protected]

Department of Mathematics University of Utah Salt Lake City, UT 84112-0090 USA [email protected]

David Nualart Carl Mueller Department of Mathematics University of Rochester Rochester, NY 14627 USA [email protected]

Department of Mathematics University of Kansas Lawrence, KS 66045 USA [email protected]

Yimin Xiao Firas Rassoul-Agha Department of Mathematics University of Utah Salt Lake City, UT 84112-0090 USA [email protected]

Department of Statistics and Probability Michigan State University A-413 Wells Hall East Lansing, MI 48824 USA [email protected]

ISBN 978-3-540-85993-2 e-ISBN 978-3-540-85994-9 DOI: 10.1007/978-3-540-85994-9 Lecture Notes in Mathematics ISSN print edition: 0075-8434 ISSN electronic edition: 1617-9692 Library of Congress Control Number: 2008934459 Mathematics Subject Classification (2000): 60H15, 60H20, 60H25 c 2009 Springer-Verlag Berlin Heidelberg  This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilm or in any other way, and storage in data banks. Duplication of this publication or parts thereof is permitted only under the provisions of the German Copyright Law of September 9, 1965, in its current version, and permission for use must always be obtained from Springer. Violations are liable to prosecution under the German Copyright Law. The use of general descriptive names, registered names, trademarks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. Cover design: SPi Publishing Services Printed on acid-free paper 987654321 springer.com

Preface

From May 8 to May 19th of 2006, the Department of Mathematics at the University of Utah hosted a minicourse on some modern topics in stochastic partial differential equations [SPDEs]. The participants included graduate students and recent PhDs from across North America, as well as research mathematicians at diverse stages of their careers. Intensive courses were given by Robert C. Dalang, Davar Khoshnevisan, An Le, Carl Mueller, David Nualart, Boris Rozovsky, and Yimin Xiao. The p

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