Abstract
We review the derivation of stochastic ordinary and quasi-linear stochastic partial differential equations (SODEâs and SPDEâs) from systems of microscopic deterministic equations in space dimension $d\geq 2$ as well as the macroscopic limits of the SPDEâs. The macroscopic limits are quasi-linear (deterministic) PDEâs. Both noncoercive and coercive SPDEâs, driven by Itô differentials with respect to correlated Brownian motions, are considered. For the solutions of semi-linear noncoercive SPDEâs with smooth and homogeneous diffusion kernels we show that these solutions can be obtained as solutions of first-order SPDEâs, driven by Stratonovich differentials and their macroscopic limit, and are solutions of a class of semi-linear second-order parabolic PDEâs. Further, the space-time covariance structure of correlated Brownian motions is described and for space dimension $d\geq 2$ the long-time behavior of the separation of two uncorrelated Brownian motions is shown to be similar to the independent case.
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