Particle representations for stochastic partial differential equations

Vortrag von Prof. Dr. Thomas Kurtz

Datum: 18.10.17  Zeit: 16.15 - 17.15  Raum: ETH HG E 1.2

Stochastic partial differential equations arise naturally as limits of finite systems of weighted interacting particles. For a variety of purposes, it is useful to keep the particles in the limit obtaining an infinite exchangeable system of stochastic differential equations for the particle locations and weights. The corresponding de Finetti measure then gives the solution of the SPDE. These representations frequently simplify existence, uniqueness, and convergence results. Beginning with the classical McKean-Vlasov limit, the basic results on exchangeable systems will be discussed along with new applications to SPDEs with boundary conditions.