A primer on stochastic partial differential equations

Abstract

These notes form a brief introductory tutorial to elements of Gaussian noise analysis and basic stochastic partial differential equations (SPDEs) in general, and the stochastic heat equation, in particular. The chief aim here is to get to the heart of the matter quickly. We achieve this by studying a few concrete equations only. This chapter provides sufficient preparation for learning more advanced theory from the remainder of this volume. © 2009 Springer.