Stochastic Differential Equations in Infinite Dimensions: with Applications to Stochastic Partial Differential Equations - Couverture souple

Livre 27 sur 35: Probability and Its Applications

Gawarecki, Leszek; Mandrekar, Vidyadhar

 
9783642266348: Stochastic Differential Equations in Infinite Dimensions: with Applications to Stochastic Partial Differential Equations
Couverture souple
ISBN 10 : 3642266347 ISBN 13 : 9783642266348
Editeur : Springer, 2013

Synopsis

The systematic study of existence, uniqueness, and properties of solutions to stochastic differential equations in infinite dimensions arising from practical problems characterizes this volume that is intended for graduate students and for pure and applied mathematicians, physicists, engineers, professionals working with mathematical models of finance. Major methods include compactness, coercivity, monotonicity, in a variety of set-ups. The authors emphasize the fundamental work of Gikhman and Skorokhod on the existence and uniqueness of solutions to stochastic differential equations and present its extension to infinite dimension. They also generalize the work of Khasminskii on stability and stationary distributions of solutions. New results, applications, and examples of stochastic partial differential equations are included. This clear and detailed presentation gives the basics of the infinite dimensional version of the classic books of Gikhman and Skorokhod and of Khasminskii in one concise volume that covers the main topics in infinite dimensional stochastic PDE’s. By appropriate selection of material, the volume can be adapted for a 1- or 2-semester course, and can prepare the reader for research in this rapidly expanding area.

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Présentation de l'éditeur

The systematic study of existence, uniqueness, and properties of solutions to stochastic differential equations in infinite dimensions arising from practical problems characterizes this volume that is intended for graduate students and for pure and applied mathematicians, physicists, engineers, professionals working with mathematical models of finance. Major methods include compactness, coercivity, monotonicity, in a variety of set-ups. The authors emphasize the fundamental work of Gikhman and Skorokhod on the existence and uniqueness of solutions to stochastic differential equations and present its extension to infinite dimension. They also generalize the work of Khasminskii on stability and stationary distributions of solutions. New results, applications, and examples of stochastic partial differential equations are included. This clear and detailed presentation gives the basics of the infinite dimensional version of the classic books of Gikhman and Skorokhod and of Khasminskii in one concise volume that covers the main topics in infinite dimensional stochastic PDE's. By appropriate selection of material, the volume can be adapted for a 1- or 2-semester course, and can prepare the reader for research in this rapidly expanding area.

Revue de presse

The text is complete, accurate and a very clear introduction to the topic. ... the book is a very nice and clear introduction to major methods in the study of infinite-dimensional stochastic differential equations. The book is not only appropriate for teaching purposes (it is designed for graduate students but due to its clear approach it can probably be used in undergraduate classes as well), but also a robust reference work for pure and applied mathematicians. --Giorgio Fabbri, Mathematical Reviews, Issue 2012 a

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
Springer
Date d'édition
2013
Langue
anglais
ISBN 10 
3642266347
ISBN 13 
9783642266348
Reliure
Broché
Nombre de pages
308
Coordonnées du fabricant
ProductSafety@springernature.com
ProductSafety@springernature.com

Poststr. 9
Darmstadt
64293
Allemagne

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9783642161933: Stochastic Differential Equations in Infinite Dimensions: With Applications to Stochastic Partial Differential Equations

Edition présentée

ISBN 10 :  3642161936 ISBN 13 :  9783642161933
Editeur : Springer-Verlag Berlin and Heide..., 2010
Couverture rigide