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Stochastic partial differential equations with Lévy noise : an evolution equation approach /
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 i...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Otros Autores: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Cambridge :
Cambridge University Press,
2007.
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| Colección: | Encyclopedia of mathematics and its applications ;
volume 113. |
| Temas: | |
| Acceso en línea: | Texto completo |
| Sumario: | 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. |
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| Descripción Física: | 1 online resource (xii, 419 pages) |
| Bibliografía: | Includes bibliographical references (pages 403-414) and index. |
| ISBN: | 9781107089754 1107089751 9781107096059 1107096057 1139883437 9781139883436 1107101654 9781107101654 1107104084 9781107104082 0511721374 9780511721373 |