Diffusions and Elliptic Operators

Richard F. Bass

ISBN 10: 1475771592 / ISBN 13: 9781475771596

Published by Springer New York, Springer US Jul 2013, 2013

About this Item

Neuware -A discussion of the interplay of diffusion processes and partial differential equations with an emphasis on probabilistic methods. It begins with stochastic differential equations, the probabilistic machinery needed to study PDE, and moves on to probabilistic representations of solutions for PDE, regularity of solutions and one dimensional diffusions. The author discusses in depth two main types of second order linear differential operators: non-divergence operators and divergence operators, including topics such as the Harnack inequality of Krylov-Safonov for non-divergence operators and heat kernel estimates for divergence form operators, as well as Martingale problems and the Malliavin calculus. While serving as a textbook for a graduate course on diffusion theory with applications to PDE, this will also be a valuable reference to researchers in probability who are interested in PDE, as well as for analysts interested in probabilistic methods.Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 252 pp. Englisch.

Seller Inventory # 9781475771596

Bibliographic Details

• Title: Diffusions and Elliptic Operators
• Publisher: Springer New York, Springer US Jul 2013
• Publication Date: 2013
• Language: English
• ISBN 10: 1475771592
• ISBN 13: 9781475771596
• Binding: Taschenbuch
• Condition: Neu
• Dimensions: 235W x 155H x 14D millimeters 235 millimeters width by 155 millimeters height by 14 millimeters depth
• Weight: 388 grams

About this title

Synopsis

This book will serve as a reference book for graduate students and researchers in probability theory or partial differential equations who want to learn more about the interplay of these two areas.