Stochastic Partial Differential Equations: A Modeling, White Noise Functional Approach - Couverture rigide

Holden, Helge; Etc.; Oksendal, B.K.; Uboe, J.; Zhang, T

 
9783764339289: Stochastic Partial Differential Equations: A Modeling, White Noise Functional Approach

Synopsis

The main emphasis of this work is on stochastic partial differential equations. First the stochastic Poisson equation and the stochastic transport equation are discussed; then the authors go on to deal with the Schrodinger equation, the heat equation, the nonlinear Burgers' equation with a stochastic source, and the pressure equation. The white noise approach often allows for solutions given by explicit formulas in terms of expectations of certain auxiliary processes. The noise in the above examples are all of a Gaussian white noise type. In the end, the authors also show how to adapt the analysis to SPDEs involving noise of Poissonian type.

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Présentation de l'éditeur

In this second edition, the authors build on the theory of SPDEs driven by space-time Brownian motion, or more generally, space-time Lévy process noise. Applications of the theory are emphasized throughout and useful exercises are at the end of each chapter.

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

Autres éditions populaires du même titre

9780387894874: Stochastic Partial Differential Equations: A Modeling, White Noise Functional Approach

Edition présentée

ISBN 10 :  038789487X ISBN 13 :  9780387894874
Editeur : Springer, 2009
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