Stochastic Evolution Equations
DOWNLOAD
Download Stochastic Evolution Equations PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Stochastic Evolution Equations book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page
Stochastic Evolution Systems
DOWNLOAD
Author : B.L. Rozovskii
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Stochastic Evolution Systems written by B.L. Rozovskii and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Mathematics categories.
Covering the general theory of linear stochastic evolution systems with unbounded drift and diffusion operators, this book sureys Ito's second-order parabolic equations and explores filtering problems for processes whose trajectories can be described by them.
Stochastic Integrals
DOWNLOAD
Author : H. P. McKean
language : en
Publisher: Academic Press
Release Date : 2014-06-20
Stochastic Integrals written by H. P. McKean and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-06-20 with Mathematics categories.
Stochastic Integrals discusses one area of diffusion processes: the differential and integral calculus based upon the Brownian motion. The book reviews Gaussian families, construction of the Brownian motion, the simplest properties of the Brownian motion, Martingale inequality, and the law of the iterated logarithm. It also discusses the definition of the stochastic integral by Wiener and by Ito, the simplest properties of the stochastic integral according to Ito, and the solution of the simplest stochastic differential equation. The book explains diffusion, Lamperti's method, forward equation, Feller's test for the explosions, Cameron-Martin's formula, the Brownian local time, and the solution of dx=e(x) db + f(x) dt for coefficients with bounded slope. It also tackles Weyl's lemma, diffusions on a manifold, Hasminski's test for explosions, covering Brownian motions, Brownian motions on a Lie group, and Brownian motion of symmetric matrices. The book gives as example of a diffusion on a manifold with boundary the Brownian motion with oblique reflection on the closed unit disk of R squared. The text is suitable for economists, scientists, or researchers involved in probabilistic models and applied mathematics.
Strong And Weak Approximation Of Semilinear Stochastic Evolution Equations
DOWNLOAD
Author : Raphael Kruse
language : en
Publisher: Springer
Release Date : 2013-11-18
Strong And Weak Approximation Of Semilinear Stochastic Evolution Equations written by Raphael Kruse and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-11-18 with Mathematics categories.
In this book we analyze the error caused by numerical schemes for the approximation of semilinear stochastic evolution equations (SEEq) in a Hilbert space-valued setting. The numerical schemes considered combine Galerkin finite element methods with Euler-type temporal approximations. Starting from a precise analysis of the spatio-temporal regularity of the mild solution to the SEEq, we derive and prove optimal error estimates of the strong error of convergence in the first part of the book. The second part deals with a new approach to the so-called weak error of convergence, which measures the distance between the law of the numerical solution and the law of the exact solution. This approach is based on Bismut’s integration by parts formula and the Malliavin calculus for infinite dimensional stochastic processes. These techniques are developed and explained in a separate chapter, before the weak convergence is proven for linear SEEq.
Stochastic Evolution Equations
DOWNLOAD
Author : Wilfried Grecksch
language : en
Publisher: De Gruyter Akademie Forschung
Release Date : 1995
Stochastic Evolution Equations written by Wilfried Grecksch and has been published by De Gruyter Akademie Forschung this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995 with Mathematics categories.
The authors give a self-contained exposition of the theory of stochastic evolution equations. Elements of infinite dimensional analysis, martingale theory in Hilbert spaces, stochastic integrals, stochastic convolutions are applied. Existence and uniqueness theorems for stochastic evolution equations in Hilbert spaces in the sense of the semigroup theory, the theory of evolution operators, and monotonous operators in rigged Hilbert spaces are discussed. Relationships between the different concepts are demonstrated. The results are used to concrete stochastic partial differential equations like parabolic and hyperbolic Ito equations and random constitutive equations of elastic viscoplastic materials. Furthermore, stochastic evolution equations in rigged Hilbert spaces are approximated by time discretization methods.
Discovering Evolution Equations With Applications
DOWNLOAD
Author : Mark McKibben
language : en
Publisher: CRC Press
Release Date : 2011-06-03
Discovering Evolution Equations With Applications written by Mark McKibben and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-06-03 with Mathematics categories.
Most existing books on evolution equations tend either to cover a particular class of equations in too much depth for beginners or focus on a very specific research direction. Thus, the field can be daunting for newcomers to the field who need access to preliminary material and behind-the-scenes detail. Taking an applications-oriented, conversation
Stochastic Partial Differential Equations Second Edition
DOWNLOAD
Author : Pao-Liu Chow
language : en
Publisher: CRC Press
Release Date : 2014-12-10
Stochastic Partial Differential Equations Second Edition written by Pao-Liu Chow and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-12-10 with Mathematics categories.
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 stochastic partial differential equations (PDEs) driven by the Lévy type of noise. Stochastic Partial Differential Equations, Second Edition incorporates these recent developments and improves the presentation of material. New to the Second Edition Two sections on the Lévy type of stochastic integrals and the related stochastic differential equations in finite dimensions Discussions of Poisson random fields and related stochastic integrals, the solution of a stochastic heat equation with Poisson noise, and mild solutions to linear and nonlinear parabolic equations with Poisson noises Two sections on linear and semilinear wave equations driven by the Poisson type of noises Treatment of the Poisson stochastic integral in a Hilbert space and mild solutions of stochastic evolutions with Poisson noises Revised proofs and new theorems, such as explosive solutions of stochastic reaction diffusion equations Additional applications of stochastic PDEs to population biology and finance Updated section on parabolic equations and related elliptic problems in Gauss–Sobolev spaces The book covers basic theory as well as computational and analytical techniques to solve physical, biological, and financial problems. It first presents classical concrete problems before proceeding to a unified theory of stochastic evolution equations and describing applications, such as turbulence in fluid dynamics, a spatial population growth model in a random environment, and a stochastic model in bond market theory. The author also explores the connection of stochastic PDEs to infinite-dimensional stochastic analysis.
Stochastic Partial Differential Equations With L Vy Noise
DOWNLOAD
Author : S. Peszat
language : en
Publisher: Cambridge University Press
Release Date : 2007-10-11
Stochastic Partial Differential Equations With L Vy Noise written by S. Peszat and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-10-11 with Mathematics categories.
Comprehensive monograph by two leading international experts; includes applications to statistical and fluid mechanics and to finance.
Evolution Equations And Approximations
DOWNLOAD
Author : Kazufumi Ito
language : en
Publisher: World Scientific
Release Date : 2002
Evolution Equations And Approximations written by Kazufumi Ito and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with Science categories.
Annotation Ito (North Carolina State U.) and Kappel (U. of Graz, Austria) offer a unified presentation of the general approach for well-posedness results using abstract evolution equations, drawing from and modifying the work of K. and Y. Kobayashi and S. Oharu. They also explore abstract approximation results for evolution equations. Their work is not a textbook, but they explain how instructors can use various sections, or combinations of them, as a foundation for a range of courses. Annotation copyrighted by Book News, Inc., Portland, OR
General Pontryagin Type Stochastic Maximum Principle And Backward Stochastic Evolution Equations In Infinite Dimensions
DOWNLOAD
Author : Qi Lü
language : en
Publisher: Springer
Release Date : 2014-06-02
General Pontryagin Type Stochastic Maximum Principle And Backward Stochastic Evolution Equations In Infinite Dimensions written by Qi Lü and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-06-02 with Science categories.
The classical Pontryagin maximum principle (addressed to deterministic finite dimensional control systems) is one of the three milestones in modern control theory. The corresponding theory is by now well-developed in the deterministic infinite dimensional setting and for the stochastic differential equations. However, very little is known about the same problem but for controlled stochastic (infinite dimensional) evolution equations when the diffusion term contains the control variables and the control domains are allowed to be non-convex. Indeed, it is one of the longstanding unsolved problems in stochastic control theory to establish the Pontryagin type maximum principle for this kind of general control systems: this book aims to give a solution to this problem. This book will be useful for both beginners and experts who are interested in optimal control theory for stochastic evolution equations.
Stochastic Evolution Equations By Semigroups Methods
DOWNLOAD
Author : Giuseppe Da Prato
language : en
Publisher:
Release Date : 1996
Stochastic Evolution Equations By Semigroups Methods written by Giuseppe Da Prato and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with categories.