Springe direkt zu Inhalt

19234701 Gaussian measures in infinite dimensions and invariant measures for PDEs

Summer Term 2021

Lecturer: Dr. Immanuel Zachhuber

Time and place

  • Lecture:  Tuesdays, 14--16h, online.

  • Final Exam:  to be announced in due course

Criteria:  regular & active participation, exam

Prerequisits: Some knowledge of Probability and Functional Analysis.


The first aim of the course is to introduce Gaussian measures in Hilbert spaces and then on more general Banach spaces. Later we will use the insights we gained to construct invariant measures for some linear and nonlinear PDEs.


  • Giuseppe Da Prato and Jerzy Zabczyk: Stochastic equations in infinite dimensions, volume 152 of Encyclopedia of Mathematics and its Applications. Cambridge University Press, Cambridge, Second edition, 2014.
  • Nathaniel Eldredge: Analysis and probability on infinite-dimensional spaces. ArXiv preprint arXiv:1607.03591, 2016.
  • Moreover, lecture notes will be provided via Whiteboard.