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Stochastic Equations in Infinite Dimensions: Encyclopedia of Mathematics and its Applications, cartea 152

Autor Giuseppe Da Prato, Jerzy Zabczyk
en Limba Engleză Hardback – 16 apr 2014
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.
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Specificații

ISBN-13: 9781107055841
ISBN-10: 1107055849
Pagini: 512
Ilustrații: black & white illustrations
Dimensiuni: 152 x 236 x 33 mm
Greutate: 0.89 kg
Ediția:Revizuită
Editura: Cambridge University Press
Colecția Cambridge University Press
Seria Encyclopedia of Mathematics and its Applications

Locul publicării:New York, United States

Cuprins

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.

Recenzii

Review of the first edition: 'The exposition is excellent and readable throughout, and should help bring the theory to a wider audience.' Daniel L. Ocone, Stochastics and Stochastic Reports
Review of the first edition: '… a welcome contribution to the rather new area of infinite dimensional stochastic evolution equations, which is far from being complete, so it should provide both a useful background and motivation for further research.' Yuri Kifer, The Annals of Probability
Review of the first edition: '… an excellent book which covers a large part of stochastic evolution equations with clear proofs and a very interesting analysis of their properties … In my opinion this book will become an indispensable tool for everybody working on stochastic evolution equations and related areas.' P. Kotelenez, American Mathematical Society

Notă biografică


Descriere

Updates in this second edition include two brand new chapters and an even more comprehensive bibliography.