School on Stochastic PDE, March 7-10, 2017

​This intensive course on stochastic differential equation is organized under the umbrella of the EU Horizon 2020 Research and Innovation Staff Exchange program CHiPS.

The meeting is held in Gothenburg in Sweden, and is hosted by the Department of Mathematical Sciences at Chalmers University of Technology and the University of Gothenburg.

The course leader is Stig Larsson. Local organizer is Klas Modin.

The course is built around a series of lectures (4 x 45min per day) given by the teachers. In addition, there shall be time for discussion, questions, and exercises. Suitable background for participants: multivariate calculus, basic knowledge of ODE, and basic knowledge of linear PDE particularly the heat and wave equations. Some familiarity with the Finite Element Method is also good.

Preliminary course contents
Stochastic integration in Rn
Stochastic integration in Hilbert space
Stochastic evolution problem in Rn
Stochastic evolution problem in Hilbert space
Semigroup, mild solution
Stochastic heat equation
Stochastic wave equation
Stochastic Cahn-Hilliard equation
Numerical approximation by finite elements and Euler's method

Lecture slides
Part 1
Part 2
Part 3 (updated twice, 3rd version)
 
Hand-in excercise
To receive credits for the course you need to complete this exercise and hand it in to Stig Larsson via email.

First scheduled event
The school starts on Tuesday 7/3 with a common lunch at the restaurant OOTO. We meet up at 12pm in the main entrance of the Mathematical Sciences building (MV) at Chalmers Campus (Johanneberg).

Schedule of lectures
Tuesday 7/3, 13.15 - 15.00 (MVF21)
Wednesday 8/3, 10.00 - 11.45 (MVF26) and 13.15 - 15.00 (MVF26)
Thursday 9/3, 10.00 - 11.45 (MVF21) and 13.15 - 15.00 (Euler)
Friday 10/3, 10.00 - 11.45 (MVF33) and 13.15 - 15.00 (MVF26)

Participants
Sondre Galtung (NTNU)
Torbjörn Ringholm (NTNU)
Alemayehu Arara (NTNU)
Audun Reigstad (NTNU)
Sverre Anmarkrud (Norwegian University of Life Sciences)
André Berglund (Umeå University)
Milo Viviani (Chalmers and GU)
Geir Bogfjellmo (Chalmers and GU)
Tony Stillfjord (Chalmers and GU)
Håkon Strand Bølviken (Chalmers and GU)
Anders Hildeman (Chalmers and GU)
Efthymios Karatzas (Chalmers and GU)
Carl Lundholm (Chalmers and GU)
Magne Nordaas (Chalmers and GU)
Alice Kozakevicius (Federal University of Santa Maria)
Klas Modin (Chalmers and GU)

Accomodation
Par