Stochastic Equations in Infinite Dimensions

Dekorationsartikel gehören nicht zum Leistungsumfang.

Sprache: Englisch

196,95 €

inkl. MwSt.

Versandkostenfrei per Post / DHL

Lieferzeit 1-2 Wochen

Kategorien:

Beschreibung

Now in its second edition, this book gives a systematic and self-contained presentation of basic results on stochastic evolution equations in infinite dimensional, typically Hilbert and Banach, spaces. In the first part the authors give a self-contained exposition of the basic properties of probability measure on separable Banach and Hilbert spaces, as required later; they assume a reasonable background in probability theory and finite dimensional stochastic processes. The second part is devoted to the existence and uniqueness of solutions of a general stochastic evolution equation, and the third concerns the qualitative properties of those solutions. Appendices gather together background results from analysis that are otherwise hard to find under one roof. This revised edition includes two brand new chapters surveying recent developments in the area and an even more comprehensive bibliography, making this book an essential and up-to-date resource for all those working in stochastic differential equations.

Über den Autor

Giuseppe Da Prato is Emeritus Professor at the Scuola Normale Superiore di Pisa. His research activity concerns: stochastic analysis, evolution equations both deterministic and stochastic, elliptic and parabolic equations with infinitely many variables, deterministic and stochastic control. On these subjects he has produced more than 350 papers in reviewed journals and eight books.

Inhaltsverzeichnis

Preface; Introduction; Part I. Foundations: 1. Random variables; 2. Probability measures; 3. Stochastic processes; 4. Stochastic integral; Part II. Existence and Uniqueness: 5. Linear equations with additive noise; 6. Linear equations with multiplicative noise; 7. Existence and uniqueness for nonlinear equations; 8. Martingale solutions; 9. Markov property and Kolmogorov equation; 10. Absolute continuity and Girsanov theorem; 11. Large time behavior of solutions; 12. Small noise asymptotic; 13. Survey of specific equations; 14. Some recent developments; Appendix A. Linear deterministic equations; Appendix B. Some results on control theory; Appendix C. Nuclear and Hilbert-Schmidt operators; Appendix D. Dissipative mappings; Bibliography; Index.

Details

Erscheinungsjahr:	2015
Fachbereich:	Analysis
Genre:	Importe , Mathematik
Rubrik:	Naturwissenschaften & Technik
Medium:	Buch
Inhalt:	Gebunden
ISBN-13:	9781107055841
ISBN-10:	1107055849
Sprache:	Englisch
Einband:	Gebunden
Autor:	Da Prato, Giuseppe Zabczyk, Jerzy
Hersteller:	Cambridge University Press
Verantwortliche Person für die EU:	Libri GmbH, Europaallee 1, D-36244 Bad Hersfeld, gpsr@libri.de
Maße:	240 x 161 x 32 mm
Von/Mit:	Giuseppe Da Prato (u. a.)
Erscheinungsdatum:	07.01.2015
Gewicht:	0,928 kg