Stochastic PDE's and Kolmogorov Equations in Infinite Dimensions - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Stochastic PDE's and Kolmogorov Equations in Infinite Dimensions write by N.V. Krylov. This book was released on 2006-11-15. Stochastic PDE's and Kolmogorov Equations in Infinite Dimensions available in PDF, EPUB and Kindle. Kolmogorov equations are second order parabolic equations with a finite or an infinite number of variables. They are deeply connected with stochastic differential equations in finite or infinite dimensional spaces. They arise in many fields as Mathematical Physics, Chemistry and Mathematical Finance. These equations can be studied both by probabilistic and by analytic methods, using such tools as Gaussian measures, Dirichlet Forms, and stochastic calculus. The following courses have been delivered: N.V. Krylov presented Kolmogorov equations coming from finite-dimensional equations, giving existence, uniqueness and regularity results. M. Röckner has presented an approach to Kolmogorov equations in infinite dimensions, based on an LP-analysis of the corresponding diffusion operators with respect to suitably chosen measures. J. Zabczyk started from classical results of L. Gross, on the heat equation in infinite dimension, and discussed some recent results.
Stochastic Equations in Infinite Dimensions
Stochastic Equations in Infinite Dimensions - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Stochastic Equations in Infinite Dimensions write by Giuseppe Da Prato. This book was released on 2014-04-17. Stochastic Equations in Infinite Dimensions available in PDF, EPUB and Kindle. 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.
Stochastic PDE's and Kolmogorov Equations in Infinite Dimensions
Stochastic PDE's and Kolmogorov Equations in Infinite Dimensions - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Stochastic PDE's and Kolmogorov Equations in Infinite Dimensions write by N.V. Krylov. This book was released on 1999-10-19. Stochastic PDE's and Kolmogorov Equations in Infinite Dimensions available in PDF, EPUB and Kindle. Kolmogorov equations are second order parabolic equations with a finite or an infinite number of variables. They are deeply connected with stochastic differential equations in finite or infinite dimensional spaces. They arise in many fields as Mathematical Physics, Chemistry and Mathematical Finance. These equations can be studied both by probabilistic and by analytic methods, using such tools as Gaussian measures, Dirichlet Forms, and stochastic calculus. The following courses have been delivered: N.V. Krylov presented Kolmogorov equations coming from finite-dimensional equations, giving existence, uniqueness and regularity results. M. Röckner has presented an approach to Kolmogorov equations in infinite dimensions, based on an LP-analysis of the corresponding diffusion operators with respect to suitably chosen measures. J. Zabczyk started from classical results of L. Gross, on the heat equation in infinite dimension, and discussed some recent results.
Stochastic Equations in Infinite Dimensions
Stochastic Equations in Infinite Dimensions - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Stochastic Equations in Infinite Dimensions write by Giuseppe Da Prato. This book was released on 2014-04-17. Stochastic Equations in Infinite Dimensions available in PDF, EPUB and Kindle. Updates in this second edition include two brand new chapters and an even more comprehensive bibliography.
Second Order PDE's in Finite and Infinite Dimension
Second Order PDE's in Finite and Infinite Dimension - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Second Order PDE's in Finite and Infinite Dimension write by Sandra Cerrai. This book was released on 2003-07-01. Second Order PDE's in Finite and Infinite Dimension available in PDF, EPUB and Kindle. The main objective of this monograph is the study of a class of stochastic differential systems having unbounded coefficients, both in finite and in infinite dimension. We focus our attention on the regularity properties of the solutions and hence on the smoothing effect of the corresponding transition semigroups in the space of bounded and uniformly continuous functions. As an application of these results, we study the associated Kolmogorov equations, the large-time behaviour of the solutions and some stochastic optimal control problems together with the corresponding Hamilton- Jacobi-Bellman equations. In the literature there exists a large number of works (mostly in finite dimen sion) dealing with these arguments in the case of bounded Lipschitz-continuous coefficients and some of them concern the case of coefficients having linear growth. Few papers concern the case of non-Lipschitz coefficients, but they are mainly re lated to the study of the existence and the uniqueness of solutions for the stochastic system. Actually, the study of any further properties of those systems, such as their regularizing properties or their ergodicity, seems not to be developed widely enough. With these notes we try to cover this gap.
