Stochastic equations in infinite dimensions

Authors:Giuseppe Da Prato, Jerzy Zabczyk

Summary:The aim of this book is to give a systematic and self-contained presentation of basic results on stochastic evolution equations in infinite dimensional spaces.

Print Book, English, c1992

Edition:View all formats and editions

Publisher: Cambridge University Press, Cambridge, England, c1992

Series:

Encyclopedia of mathematics and its applications, 45

Physical Description:xviii, 454 p. ; 24 cm.

ISBN:

9780521385299, 9780521059800, 0521385296, 0521059801

OCLC Number / Unique Identifier:1046443692

Subjects:

Ecuaciones diferenciales parciales estocásticas

Contents:

Part I. Foundations: 1. Random variables; 2. Probability measures; 3. Stochastic processes; 4. The stochastic integral; Part II. Existence and Uniqueness: 5. Linear equations with additive noise; 6. Linear equations with multiplicative noise; 7. Existence and uniqueness for nonlinear equations; 8. Martingale solutions; Part III. Properties of Solutions: 9. Markov properties and Kolmogorov equations; 10. Absolute continuity and Girsanov's theorem; 11. Large time behaviour of solutions; 12. Small noise asymptotic.

Reproduction Notes:

Reimpresión de 2008