SPDEs with Colored Gaussian Noise: A Survey

Jian Song

doi:10.1007/s40304-018-0160-y

Communications in Mathematics and Statistics ›› 2018, Vol. 6 ›› Issue (4) : 481 -492. DOI: 10.1007/s40304-018-0160-y

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SPDEs with Colored Gaussian Noise: A Survey

Jian Song ¹^,^a

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Abstract

This note reviews and discusses some recent results on linear stochastic partial differential equations with multiplicative Gaussian noise colored in time.

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Stochastic partial differential equations / Malliavin Calculus / Large deviation / Lyapunov exponent

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Jian Song. SPDEs with Colored Gaussian Noise: A Survey. Communications in Mathematics and Statistics, 2018, 6(4): 481-492 DOI:10.1007/s40304-018-0160-y