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Markov processes, Feller semigroups and evolution equations /
The book provides a systemic treatment of time-dependent strong Markov processes with values in a Polish space. It describes its generators and the link with stochastic differential equations in infinite dimensions. In a unifying way, where the square gradient operator is employed, new results for b...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Singapore ; Hackensack, NJ :
World Scientific,
2011.
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| Colección: | Series on concrete and applicable mathematics ;
v. 12. |
| Temas: | |
| Acceso en línea: | Texto completo |
| Sumario: | The book provides a systemic treatment of time-dependent strong Markov processes with values in a Polish space. It describes its generators and the link with stochastic differential equations in infinite dimensions. In a unifying way, where the square gradient operator is employed, new results for backward stochastic differential equations and long-time behavior are discussed in depth. The book also establishes a link between propagators or evolution families with the Feller property and time-inhomogeneous Markov processes. This mathematical material finds its applications in several branches of the scientific world, among which are mathematical physics, hedging models in financial mathematics, and population models. |
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| Descripción Física: | 1 online resource (xviii, 805 pages) |
| Bibliografía: | Includes bibliographical references (pages 759-788) and index. |
| ISBN: | 9789814322195 9814322199 |
| ISSN: | 1793-1142 ; |