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arXiv · 0706.3392

Solving SPDEs driven by colored noise: a chaos approach

S. V. Lototsky·K. Stemmann
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Abstract

An Ito-Skorokhod bi-linear equation driven by infinitely many independent colored noises is considered in a normal triple of Hilbert spaces. The special feature of the equation is the appearance of the Wick product in the definition of the Ito-Skorokhod integral, requiring innovative approaches to computing the solution. A chaos expansion of the solution is derived and several truncations of this expansion are studied. A recursive approximation of the solution is suggested and the corresponding approximation error bound is computed.

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BibTeXRIS

S. V. Lototsky, K. Stemmann. 2007-06-22. Solving SPDEs driven by colored noise: a chaos approach. https://arxiv.org/abs/0706.3392

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