عنوان

Stochastic equations in infinite dimensions /

(Number (ISBN

1107055849

(Number (ISBN

9781107055841

Number

dltt

Title Proper

Stochastic equations in infinite dimensions /

General Material Designation

[Book]

First Statement of Responsibility

Giuseppe Da Prato, Scuola Normale Superiore, Pisa, Jerzy Zabczyk, Polish Academy of Sciences

Edition Statement

Second edition

Specific Material Designation and Extent of Item

xviii, 493 pages ;

Dimensions

24 cm

Series Title

Encyclopedia of mathematics and its applications ;

Volume Designation

152

Text of Note

Includes bibliographical references (pages 446-490) and index

Text of Note

Introduction: motivating examples -- Part One: Foundations -- Random variables -- Probability measures -- Stochastic processes -- The stochastic integral -- Part Two: Existence and uniqueness -- Linear equations with additive noise -- Linear equations with multiplicative noise -- Existence and uniqueness for nonlinear equations -- Martingale solutions -- Part Three: Properties of solutions -- Markov property and Kolmogorov equation -- Absolute continuity and the Girsanov theorem -- Large time behavior of solutions -- Small noise asymptotic behavior -- Survey of specific equations -- Some recent developments

0

Text of Note

"Now in its second edition, this book gives a systematic and self-contained presentation of basic results on stochastic evolution equations in infinite dimensional spaces, typically Hilbert and Banach spaces. In the first part the authors give an exposition of the main properties of probability measures 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 field and an even more comprehensive bibliography, making this book an essential and up-to-date resource for all those working in stochastic differential equations"--

Stochastic partial differential equations

Da Prato, Giuseppe

Zabczyk, Jerzy

Date of Transaction

20150604115146.0

Cataloguing Rules (Descriptive Conventions))

rda

Electronic name

[Book]

Y