Stochastic equations in infinite dimensions [EBook] / Giuseppe Da Prato, Scuola Normale Superiore, Pisa, Jerzy Zabczyk, Polish Academy of Sciences.
Stochastic equations in infinite dimensions [EBook] / Giuseppe Da Prato, Scuola Normale Superiore, Pisa, Jerzy Zabczyk, Polish Academy of Sciences.
Now in its second edition, this book gives a systematic and selfcontained presentation of basic results on stochastic evolution equations in infinite dimensional, typically Hilbert and Banach, spaces. In the first part the authors give a selfcontained exposition of the basic properties of probabil...
Personal Name(s):  Da Prato, Giuseppe, (author) 

Zabczyk, Jerzy, (author)  
Edition: 
Second edition. 
Imprint: 
Cambridge :
Cambridge University Press,
2014

Physical Description: 
1 online resource (xviii, 493 pages) 
Note: 
englisch 
ISBN: 
9781107055841 9781107295513 
Series Title: 
Encyclopedia of mathematics and its applications ;
volume 152 
Subject (LOC):  
Full Text 
Table of Contents:
 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.