A White Noise Approach to Stochastic Neumann Boundary-Value Problems

Helge Holden () and Bernt Øksendal ()
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Helge Holden: Norwegian University of Science and Technology, Department of Mathematical Sciences
Bernt Øksendal: University of Oslo, Department of Mathematics

A chapter in Recent Developments in Infinite-Dimensional Analysis and Quantum Probability, 2001, pp 141-150 from Springer

Abstract: Abstract We illustrate the use of white noise analysis in the solution of stochastic partial differential equations by explicitly solving the stochastic Neumann boundary-value problem $$ LU(x) - c(x)U(x) = 0,x \in D \subset ^d $$ $$\gamma (x) \cdot \nabla U(x) = - W(x),x \in \partial D, $$ where L is a uniformly elliptic linear partial differential operator and W(x), x ∈ ℝ d , is d-parameter white noise.

Keywords: 60H15; 60H40; stochastic Neumann problem; white noise analysis (search for similar items in EconPapers)
Date: 2001
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-94-010-0842-6_9

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DOI: 10.1007/978-94-010-0842-6_9

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