Stochastic Differential Equations in Infinite Dimensions: with Applications to Stochastic Partial Differential Equations (Probability and Its Applications) - Hardcover

Book 27 of 35: Probability and Its Applications

Gawarecki, Leszek; Mandrekar, Vidyadhar

 
9783642161933: Stochastic Differential Equations in Infinite Dimensions: with Applications to Stochastic Partial Differential Equations (Probability and Its Applications)
Hardcover
ISBN 10: 3642161936 ISBN 13: 9783642161933
Publisher: Springer, 2010

Synopsis

The systematic study of existence, uniqueness, and properties of solutions to stochastic differential equations in infinite dimensions arising from practical problems characterizes this volume that is intended for graduate students and for pure and applied mathematicians, physicists, engineers, professionals working with mathematical models of finance. Major methods include compactness, coercivity, monotonicity, in a variety of set-ups. The authors emphasize the fundamental work of Gikhman and Skorokhod on the existence and uniqueness of solutions to stochastic differential equations and present its extension to infinite dimension. They also generalize the work of Khasminskii on stability and stationary distributions of solutions. New results, applications, and examples of stochastic partial differential equations are included. This clear and detailed presentation gives the basics of the infinite dimensional version of the classic books of Gikhman and Skorokhod and of Khasminskii in one concise volume that covers the main topics in infinite dimensional stochastic PDE’s. By appropriate selection of material, the volume can be adapted for a 1- or 2-semester course, and can prepare the reader for research in this rapidly expanding area.

"synopsis" may belong to another edition of this title.

From the Back Cover

The systematic study of existence, uniqueness, and properties of solutions to stochastic differential equations in infinite dimensions arising from practical problems characterizes this volume that is intended for graduate students and for pure and applied mathematicians, physicists, engineers, professionals working with mathematical models of finance. Major methods include compactness, coercivity, monotonicity, in a variety of set-ups. The authors emphasize the fundamental work of Gikhman and Skorokhod on the existence and uniqueness of solutions to stochastic differential equations and present its extension to infinite dimension. They also generalize the work of Khasminskii on stability and stationary distributions of solutions. New results, applications, and examples of stochastic partial differential equations are included. This clear and detailed presentation gives the basics of the infinite dimensional version of the classic books of Gikhman and Skorokhod and of Khasminskii in one concise volume that covers the main topics in infinite dimensional stochastic PDE’s. By appropriate selection of material, the volume can be adapted for a 1- or 2-semester course, and can prepare the reader for research in this rapidly expanding area.

"About this title" may belong to another edition of this title.

Publisher
Springer
Publication date
2010
Language
English
ISBN 10 
3642161936
ISBN 13 
9783642161933
Binding
Hardcover
Number of pages
307

Other Popular Editions of the Same Title

9783642266348: Stochastic Differential Equations in Infinite Dimensions: with Applications to Stochastic Partial Differential Equations (Probability and Its Applications)

Featured Edition

ISBN 10:  3642266347 ISBN 13:  9783642266348
Publisher: Springer, 2013
Softcover