A White Noise Approach to Stochastic Neumann Boundary-Value Problems |
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| Authors: | Helge Holden Bernt Øksendal |
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| Affiliation: | (1) Department of Mathematical Sciences, Norwegian University of Science and Technology, N-7491 Trondheim, Norway. e-mail;(2) Department of Mathematics, University of Oslo, N-0316 Oslo, Norway, and;(3) Norwegian School of Economics and Business Administration, Hellevn 30, N-5035 Bergen–Sandviken, Norway. e-mail |
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| Abstract: | We illustrate the use of white noise analysis in the solution of stochastic partial differential equations by explicitly solving the stochastic Neumann boundary-value problem LU(x)–c(x)U(x)=0, x D Rd, (x)  U(x)=–W(x), x D, where L is a uniformly elliptic linear partial differential operator and W(x), xRd, is d-parameter white noise. |
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| Keywords: | stochastic Neumann problem white noise analysis |
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