Stochastic Partial Differential Equations and Applications

Proceedings of a Conference held in Trento, Italy, September 30 - October 5, 1985
Herausgegeben:Da Prato, Giuseppe; Tubaro, Luciano

• Broschiertes Buch

Produktbeschreibung

Existence and uniqueness results for a non linear stochastic partial differential equation.- Continuity in non linear filtering some different approacees.- Expectation functionals associated with some stochastic evolution equations.- Dirichlet boundary value problem and optimal control for a stochastic distributed parameter system.- Stochastic product integration and stochastic equations.- Some remarks on a problem in stochastic optimal control.- Passage from two-parameters to infinite dimension.- The heat equation and fourier transforms of generalized brownian functionals.- The separation principle for stochastic differential equations with unbounded coefficients.- Weak convergence of measure valued processes using sobolev-imbedding techniques.- Probability distributions of solutions to some stochastic partial differential equations.- Two-sided stochastic calculus for spdes.- Convergence of implicit discretization schemes for linear differential equations with application to filtering.- Some applications of the Malliavin calculus to stochastic analysis.- Exit problem for infinite dimensional systems.

Produktdetails

• Lecture Notes in Mathematics 1236
• Verlag: Springer / Springer Berlin Heidelberg / Springer, Berlin
• Artikelnr. des Verlages: 978-3-540-17211-6
• 1987
• Seitenzahl: 268
• Erscheinungstermin: 25. März 1987
• Englisch
• Abmessung: 235mm x 155mm x 15mm
• Gewicht: 436g
• ISBN-13: 9783540172116
• ISBN-10: 3540172114
• Artikelnr.: 23883141

Inhaltsangabe

Existence and uniqueness results for a non linear stochastic partial differential equation.- Continuity in non linear filtering some different approacees.- Expectation functionals associated with some stochastic evolution equations.- Dirichlet boundary value problem and optimal control for a stochastic distributed parameter system.- Stochastic product integration and stochastic equations.- Some remarks on a problem in stochastic optimal control.- Passage from two-parameters to infinite dimension.- The heat equation and fourier transforms of generalized brownian functionals.- The separation principle for stochastic differential equations with unbounded coefficients.- Weak convergence of measure valued processes using sobolev-imbedding techniques.- Probability distributions of solutions to some stochastic partial differential equations.- Two-sided stochastic calculus for spdes.- Convergence of implicit discretization schemes for linear differential equations with application to filtering.- Some applications of the Malliavin calculus to stochastic analysis.- Exit problem for infinite dimensional systems.