Stochastic Equations in Infinite Dimensions (Encyclopedia of Mathematics and its Applications)

Da Prato, Guiseppe, Zabczyk, Jerzy

ISBN 10: 0521385296 / ISBN 13: 9780521385299

Published by Cambridge University Press, 1993

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Bibliographic Details

• Title: Stochastic Equations in Infinite Dimensions (Encyclopedia of Mathematics and its Applications)
• Publisher: Cambridge University Press
• Publication Date: 1993
• Language: English
• ISBN 10: 0521385296
• ISBN 13: 9780521385299
• Binding: Hardcover
• Condition: Like New
• Book Type: book

About this title

Synopsis

The aim of this book is to give a systematic and self-contained presentation of the basic results on stochastic evolution equations in infinite dimensional, typically Hilbert and Banach, spaces. These are a generalization of stochastic differential equations as introduced by Itô and Gikhman that occur, for instance, when describing random phenomena that crop up in science and engineering, as well as in the study of differential equations. The book is divided into three parts. In the first the authors give a self-contained exposition of the basic properties of probability measures on separable Banach and Hilbert spaces, as required later; they assume a reasonable background in probability theory and finite dimensional stochastic processes. The second part is devoted to the existence and uniqueness of solutions of a general stochastic evolution equation, and the third concerns the qualitative properties of those solutions. Appendices gather together background results from analysis that are otherwise hard to find under one roof.

Book Description

The aim of this book is to give a systematic and self-contained presentation of basic results on stochastic evolution equations in infinite dimensional, typically Hilbert and Banach, spaces. Appendices gather background results from analysis that are otherwise hard to find under one roof. The book ends with a comprehensive bibliography that will contribute to its value for all working in stochastic differential equations.