Rajeev Bhaskaran: On the connection between SPDE’s and diffusions arising out of an SDE
Rajeev Bhaskaran (Indian Statistical Institute, Bangalore, India) gives a lecture with the title: On the connection between SPDE’s and diffusions arising out of an SDE.
In this talk we will present a general existence and uniqueness result for a Stochastic PDE, closely related to strong solutions of Ito’s stochastic differential equations. The stochastic PDE is set up in the framework of a countably Hilbertian space. Our proofs rely on the `monotonicity inequality’. If time permits, we will discuss some examples.