UID:
almafu_9960117315502883
Format:
1 online resource (xviii, 493 pages) :
,
digital, PDF file(s).
Edition:
Second edition.
ISBN:
1-139-90546-5
,
1-139-91518-5
,
1-139-89959-7
,
1-139-90349-7
,
1-107-29551-3
,
1-139-90739-5
,
1-139-91910-5
,
1-139-91124-4
,
1-139-92298-X
Series Statement:
Encyclopedia of mathematics and its applications ; volume 152
Content:
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 probability measure on separable Banach and Hilbert spaces, as required later; they assume a reasonable background in probability theory and finite dimensional stochastic processes. The second part is devoted to the existence and uniqueness of solutions of a general stochastic evolution equation, and the third concerns the qualitative properties of those solutions. Appendices gather together background results from analysis that are otherwise hard to find under one roof. This revised edition includes two brand new chapters surveying recent developments in the area and an even more comprehensive bibliography, making this book an essential and up-to-date resource for all those working in stochastic differential equations.
Note:
Title from publisher's bibliographic system (viewed on 05 Oct 2015).
,
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.
,
English
Additional Edition:
ISBN 1-107-05584-9
Language:
English
URL:
https://doi.org/10.1017/CBO9781107295513
URL:
Volltext
(URL des Erstveröffentlichers)
URL:
Volltext
(URL des Erstveröffentlichers)
