Partial Differential Equations for Probabilists (Cambridge Studies in Advanced Mathematics, Series Number 112) - Hardcover

Stroock, Daniel W.

Hardcover

ISBN 10: 0521886511 ISBN 13: 9780521886512

Publisher: Cambridge University Press, 2008

Synopsis

This book deals with equations that have played a central role in the interplay between partial differential equations and probability theory. Most of this material has been treated elsewhere, but it is rarely presented in a manner that makes it readily accessible to people whose background is probability theory. Many results are given new proofs designed for readers with limited expertise in analysis. The author covers the theory of linear, second order partial differential equations of parabolic and elliptic type. Many of the techniques have antecedents in probability theory, although the book also covers a few purely analytic techniques. In particular, a chapter is devoted to the DeGiorgi-Moser-Nash estimates and the concluding chapter gives an introduction to the theory of pseudodifferential operators and their application to hypoellipticity, including the famous theorem of Lars Hörmander.

About this title

Book Description

This book provides probabilists with sufficient background to begin applying PDEs to probability theory and probability theory to PDEs. It covers the theory of linear and second order PDEs of parabolic and elliptic type. While most of the techniques described have antecedents in probability theory, the book does cover a few purely analytic techniques.

About the Author

Dr Daniel W. Stroock is the Simons Professor of Mathematics Emeritus at the Massachusetts Institute of Technology. He has published numerous articles and is the author of six books, most recently Probability Theory: An Analytic View, 2nd edition (2010).

Edition details

• Publisher: Cambridge University Press
• Publication date: 2008
• ISBN 10: 0521886511
• ISBN 13: 9780521886512
• Binding: Hardcover
• Language: English
• Edition number: 1
• Number of pages: 232