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I have a system of 2 PDEs, one with a probabilistic right side, and kind of stuck on what to read about those things.. Any good books around? Both analytical (if any) and numerical methods are welcome. I have some PDE literature and some SDE literature, but need to figure out SPDEs... Thanks!

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up vote 1 down vote accepted

On the analytical side, I like a lot the book A Concise Course on Stochastic Partial Differential Equations by Prevot and Roeckner. It is a very well written introduction to SPDEs.

Besides this, I know a couple of people who are very fond of Stochastic Equations in Infinite Dimensions by da Prato and Zabczyk.

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