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Rough paths and stochastic partial differential equations

Ziel

Partial Differential Equations (PDEs) play an essential role for mathematical modelling of many physical phenomena, and the literature devoted to their theory and applications is enormous. Stochastic Partial Differential Equations (SPDEs) started to appear in the mid - 1960s. They were motivated by the need to describe random phenomena studied in the natural sciences such as control theory, physics, chemistry and biology. They are used, for example, in neurophysiology, mathematical finance, chemical reaction--diffusion, population dynamic, environmental pollution and nonlinear filtering.

Another source was an internal development of analysis and the theory of stochastic processes. The recent theory of rough paths provides a framework for interpreting and solving ordinary differential equations for irregular, deterministic paths that encompasses such examples.

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FP6-2005-MOBILITY-5
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PARIS-LODRON-UNIVERSITÄT SALZBURG
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