Random Obstacle Problems

École d'Été de Probabilités de Saint-Flour XLV - 2015

Nonfiction, Science & Nature, Mathematics, Statistics
Cover of the book Random Obstacle Problems by Lorenzo Zambotti, Springer International Publishing
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Author: Lorenzo Zambotti ISBN: 9783319520964
Publisher: Springer International Publishing Publication: February 27, 2017
Imprint: Springer Language: English
Author: Lorenzo Zambotti
ISBN: 9783319520964
Publisher: Springer International Publishing
Publication: February 27, 2017
Imprint: Springer
Language: English

Studying the fine properties of solutions to Stochastic (Partial) Differential Equations with reflection at a boundary, this book begins with a discussion of classical one-dimensional diffusions as the reflecting Brownian motion, devoting a chapter to Bessel processes, and moves on to function-valued solutions to SPDEs. Inspired by the classical stochastic calculus for diffusions, which is unfortunately still unavailable in infinite dimensions, it uses integration by parts formulae on convex sets of paths in order to describe the behaviour of the solutions at the boundary and the contact set between the solution and the obstacle. The text may serve as an introduction to space-time white noise, SPDEs and monotone gradient systems. Numerous open research problems in both classical and new topics are proposed.

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Studying the fine properties of solutions to Stochastic (Partial) Differential Equations with reflection at a boundary, this book begins with a discussion of classical one-dimensional diffusions as the reflecting Brownian motion, devoting a chapter to Bessel processes, and moves on to function-valued solutions to SPDEs. Inspired by the classical stochastic calculus for diffusions, which is unfortunately still unavailable in infinite dimensions, it uses integration by parts formulae on convex sets of paths in order to describe the behaviour of the solutions at the boundary and the contact set between the solution and the obstacle. The text may serve as an introduction to space-time white noise, SPDEs and monotone gradient systems. Numerous open research problems in both classical and new topics are proposed.

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