Stochastic equations in infinite dimensions /

The aim of this book is to give a systematic and self-contained presentation of basic results on stochastic evolution equations in infinite dimensional, typically Hilbert and Banach, spaces. These are a generalization of stochastic differential equations as introduced by Itô and Gikham that occur,...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Da Prato, Giuseppe
Otros Autores: Zabczyk, Jerzy
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Cambridge ; New York : Cambridge University Press, 1992.
Colección:Encyclopedia of mathematics and its applications ; volume 44.
Temas:
Stochastic partial differential equations.
Stochastic differential equations.
Stochastic analysis.
Semimartingales (Mathematics)
Équations différentielles stochastiques.
Analyse stochastique.
Équations aux dérivées partielles stochastiques.
Semi-martingales (Mathématiques)
MATHEMATICS > Applied.
MATHEMATICS > Probability & Statistics > General.
Banach-Raum
Gleichung
Hilbert-Raum
Stochastik
Equations aux dérivées partielles stochastiques.
Banach-Raum.
Gleichung.
Hilbert-Raum.
Stochastik.
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Lifts of diffusion processes
  • Random variables
  • Probability measures
  • Stochastic processes
  • The stochastic integral
  • Existence and uniqueness
  • Linear equations with additive noise
  • Linear equations with multiplicative noise
  • Existence and uniqueness for nonlinear equations
  • Martingale solutions
  • Properties of solutions
  • Markov properties and kolmogorov equations
  • Absolute continuity and Girsanov's theorem
  • Large time nehaviour of solutions
  • Small noise noise asymptotic
  • A linear deterministic equations
  • Some results on control theory
  • Nuclear and Hilbert, Schimidt operators
  • Dissipative mappings.

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