A gentle introduction to SPDEs: the random field approach

Abstract

These notes constitute the basis for the lectures given by the author at Centre de recherches math\'ematiques (CRM) at Universit\'e de Montreal, as part of the thematic semester on "Mathematical challenges in many-body physics and quantum information" (September-December 2018). They are intended for researchers in mathematics who have a background (and an interest) in probability theory, but may not be familiar with the area of stochastic analysis, and in particular with stochastic partial differential equations (SPDEs). Their goal is to give a brief and concise introduction to the study of SPDEs using the random field approach, an area which has been expanding rapidly in the last 30 years, after the publication of John Walsh's lecture notes in 1986. These notes do not survey all the developments in this area, but have the rather modest goal of introducing the readers to the basic ideas, and (hopefully) spark their interest to learn more about this subject.