Lecture notes on stochastic partial differential equations (SPDEs), adapted from lectures by Professor Wilhelm Stannat at TU Berlin in Winter Semester 2025/2026 for the purpose of studying
notes/: LaTeX sources and compiled PDFs for the rewritten lecture notesscripts/: source lecture PDFs and exported page images used as references
The material covers:
- introductory SPDE examples and the heat equation
- Gaussian measures and stochastic integration on Hilbert spaces
- mild and variational solutions
- Galerkin, compactness, and monotonicity methods
- rough SPDEs
- stochastic filtering
- stochastic reaction-diffusion systems