Stochastic PDE's and Kolmogorov Equations in Infinite Dimensions

Stochastic PDE's and Kolmogorov Equations in Infinite Dimensions
Author :
Publisher : Springer
Total Pages : 248
Release :
ISBN-10 : 9783540481614
ISBN-13 : 3540481613
Rating : 4/5 (613 Downloads)

Book Synopsis Stochastic PDE's and Kolmogorov Equations in Infinite Dimensions by : N.V. Krylov

Download or read book Stochastic PDE's and Kolmogorov Equations in Infinite Dimensions written by N.V. Krylov and published by Springer. This book was released on 2006-11-15 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 PDE's and Kolmogorov Equations in Infinite Dimensions Related Books

Stochastic PDE's and Kolmogorov Equations in Infinite Dimensions
Language: en
Pages: 248
Authors: N.V. Krylov
Categories: Mathematics
Type: BOOK - Published: 2006-11-15 - Publisher: Springer

DOWNLOAD EBOOK

Kolmogorov equations are second order parabolic equations with a finite or an infinite number of variables. They are deeply connected with stochastic differenti
Stochastic Optimal Control in Infinite Dimension
Language: en
Pages: 928
Authors: Giorgio Fabbri
Categories: Mathematics
Type: BOOK - Published: 2017-06-22 - Publisher: Springer

DOWNLOAD EBOOK

Providing an introduction to stochastic optimal control in infinite dimension, this book gives a complete account of the theory of second-order HJB equations in
Stochastic Equations in Infinite Dimensions
Language: en
Pages:
Authors: Da Prato Guiseppe
Categories:
Type: BOOK - Published: 2013-11-21 - Publisher:

DOWNLOAD EBOOK

The aim of this book is to give a systematic and self-contained presentation of basic results on stochastic evolution equations in infinite dimensional, typical
Stochastic Cauchy Problems in Infinite Dimensions
Language: en
Pages: 281
Authors: Irina V. Melnikova
Categories: Mathematics
Type: BOOK - Published: 2018-09-03 - Publisher: CRC Press

DOWNLOAD EBOOK

Stochastic Cauchy Problems in Infinite Dimensions: Generalized and Regularized Solutions presents stochastic differential equations for random processes with va
Stochastic Partial Differential Equations
Language: en
Pages: 333
Authors: Pao-Liu Chow
Categories: Mathematics
Type: BOOK - Published: 2014-12-10 - Publisher: CRC Press

DOWNLOAD EBOOK

Explore Theory and Techniques to Solve Physical, Biological, and Financial Problems Since the first edition was published, there has been a surge of interest in