Stochastic Partial Differential Equations with LÃ vy Noise: An Evolution Equation Approach (Encyclopedia of Mathematics and its Applications, Series Number 113)

Peszat, S.,Zabczyk, J.

ISBN 10: 0521879892 / ISBN 13: 9780521879897

Published by Cambridge University Press, 2007

About this Item

Seller Inventory # mon0003812132

Bibliographic Details

• Title: Stochastic Partial Differential Equations with LÃ vy Noise: An Evolution Equation Approach (Encyclopedia of Mathematics and its Applications, Series Number 113)
• Publisher: Cambridge University Press
• Publication Date: 2007
• Language: English
• ISBN 10: 0521879892
• ISBN 13: 9780521879897
• Binding: hardcover
• Condition: Very Good

About this title

Synopsis

Recent years have seen an explosion of interest in stochastic partial differential equations where the driving noise is discontinuous. In this comprehensive monograph, two leading experts detail the evolution equation approach to their solution. Most of the results appeared here for the first time in book form. The authors start with a detailed analysis of Lévy processes in infinite dimensions and their reproducing kernel Hilbert spaces; cylindrical Lévy processes are constructed in terms of Poisson random measures; stochastic integrals are introduced. Stochastic parabolic and hyperbolic equations on domains of arbitrary dimensions are studied, and applications to statistical and fluid mechanics and to finance are also investigated. Ideal for researchers and graduate students in stochastic processes and partial differential equations, this self-contained text will also interest those working on stochastic modeling in finance, statistical physics and environmental science.

About the Authors

Szymon Peszat is an Associate Professor in the Institute of Mathematics at the Polish Academy of Sciences.

Jerzy Zabczyk is a Professor in the Institute of Mathematics at the Polish Academy of Sciences. He is the author (with G. Da Prato) of three earlier books for Cambridge University Press: Stochastic Equations in Infinite Dimensions (1992), Ergodicity for Infinite Dimensional Systems (1996) and Second Order Partial Differential Equations (2002).