Giuseppe Da Prato, Jerzy Zabczyk

Stochastic Equations in Infinite Dimensions

• Gebundenes Buch

Produktbeschreibung

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

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Produktdetails

• Verlag: Cambridge University Press
• Seitenzahl: 512
• Erscheinungstermin: 7. Januar 2015
• Englisch
• Abmessung: 240mm x 161mm x 32mm
• Gewicht: 930g
• ISBN-13: 9781107055841
• ISBN-10: 1107055849
• Artikelnr.: 40788533

Autorenporträt

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.

Inhaltsangabe

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.