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Tagged with compactness stochastic-differential-equations
3 questions
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Tightness on a set $A$ implies tightness on a set $B$ where $A\subset B$?
From the book Billingsley - Convergence of probability measures, 1999, we have the following definitions of tightness and relative compactness and the Prohorov's theorem:
Tightness: Let $\Pi$ be a ...
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Approximation of deterministic problems in the PDEs with the stochastic ones
A lot of problems in PDE theory are solved in the following way:
The original problem is quite hard and we can't solve it, so we make the approximation problem that we can solve. Than we go back and ...
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Using compactness method to prove the existence of a pathwise solution to an SPDE
For given initial data $u_0\in H^k$ for some $k$, I want to prove the existence of solution to some PDE with multiplicative white noise. I modify the SPDE by regularizing it and then use the ...
