1972-01-01
Stochastic evolution equations
Publication
Publication
Mathematical Biosciences
,
Volume 15
-
Issue 3-4
p. 287-
316
A class of space-time stochastic processes that arise as solutions of stochastic evolution equations is discussed. By analogy with Itô stochastic differential equations, a stochastic evolution equation is given by the formal equation ∂X ∂t = AX + f(X)W where A is a positive self-adjoint operator and W is a space-time white noise. Existence and continuity results are obtained for equations of the foregoing type when f is a Lipschitz mapping. In addition, an equation is obtained for the covariance function of the solution.
| Additional Metadata | |
|---|---|
| Persistent URL | dx.doi.org/10.1016/0025-5564(72)90039-9 |
| Journal | Mathematical Biosciences |
| Citation |
Dawson, D.A. (1972). Stochastic evolution equations. Mathematical Biosciences, 15(3-4), 287–316. doi:10.1016/0025-5564(72)90039-9
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