Stochastic equations in infinite dimensions [E-Book] / Giuseppe Da Prato, Scuola Normale Superiore, Pisa, Jerzy Zabczyk, Polish Academy of Sciences.
Now in its second edition, this book gives a systematic and self-contained presentation of basic results on stochastic evolution equations in infinite dimensional, typically Hilbert and Banach, spaces. In the first part the authors give a self-contained exposition of the basic properties of probabil...
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Full text |
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Personal Name(s): | Da Prato, Giuseppe, author |
Zabczyk, Jerzy, author | |
Edition: |
Second edition. |
Imprint: |
Cambridge :
Cambridge University Press,
2014
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Physical Description: |
1 online resource (xviii, 493 pages) |
Note: |
englisch |
ISBN: |
9781107055841 9781107295513 |
Series Title: |
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Encyclopedia of mathematics and its applications ;
volume 152 |
Subject (LOC): |
- Introduction: motivating examples
- Part One: Foundations
- Random variables
- Probability measures
- Stochastic processes
- The stochastic integral
- Part Two: Existence and uniqueness
- Linear equations with additive noise
- Linear equations with multiplicative noise
- Existence and uniqueness for nonlinear equations
- Martingale solutions
- Part Three: Properties of solutions
- Markov property and Kolmogorov equation
- Absolute continuity and the Girsanov theorem
- Large time behavior of solutions
- Small noise asymptotic behavior
- Survey of specific equations
- Some recent developments.