Stochastic Cauchy Problems In Infinite Dimensions
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Stochastic Cauchy Problems in Infinite Dimensions
Author | : Irina V. Melnikova |
Publsiher | : CRC Press |
Total Pages | : 286 |
Release | : 2018-09-03 |
Genre | : Mathematics |
ISBN | : 9781315362625 |
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Stochastic Cauchy Problems in Infinite Dimensions: Generalized and Regularized Solutions presents stochastic differential equations for random processes with values in Hilbert spaces. Accessible to non-specialists, the book explores how modern semi-group and distribution methods relate to the methods of infinite-dimensional stochastic analysis. It also shows how the idea of regularization in a broad sense pervades all these methods and is useful for numerical realization and applications of the theory. The book presents generalized solutions to the Cauchy problem in its initial form with white noise processes in spaces of distributions. It also covers the "classical" approach to stochastic problems involving the solution of corresponding integral equations. The first part of the text gives a self-contained introduction to modern semi-group and abstract distribution methods for solving the homogeneous (deterministic) Cauchy problem. In the second part, the author solves stochastic problems using semi-group and distribution methods as well as the methods of infinite-dimensional stochastic analysis.
Stochastic Differential Equations in Infinite Dimensions
Author | : Leszek Gawarecki,Vidyadhar Mandrekar |
Publsiher | : Springer Science & Business Media |
Total Pages | : 300 |
Release | : 2010-11-29 |
Genre | : Mathematics |
ISBN | : 9783642161940 |
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The systematic study of existence, uniqueness, and properties of solutions to stochastic differential equations in infinite dimensions arising from practical problems characterizes this volume that is intended for graduate students and for pure and applied mathematicians, physicists, engineers, professionals working with mathematical models of finance. Major methods include compactness, coercivity, monotonicity, in a variety of set-ups. The authors emphasize the fundamental work of Gikhman and Skorokhod on the existence and uniqueness of solutions to stochastic differential equations and present its extension to infinite dimension. They also generalize the work of Khasminskii on stability and stationary distributions of solutions. New results, applications, and examples of stochastic partial differential equations are included. This clear and detailed presentation gives the basics of the infinite dimensional version of the classic books of Gikhman and Skorokhod and of Khasminskii in one concise volume that covers the main topics in infinite dimensional stochastic PDE’s. By appropriate selection of material, the volume can be adapted for a 1- or 2-semester course, and can prepare the reader for research in this rapidly expanding area.
Stochastic Cauchy Problems in Infinite Dimensions
Author | : Irina V. Melnikova |
Publsiher | : CRC Press |
Total Pages | : 232 |
Release | : 2018-09-03 |
Genre | : Mathematics |
ISBN | : 9781315360263 |
Download Stochastic Cauchy Problems in Infinite Dimensions Book in PDF, Epub and Kindle
Stochastic Cauchy Problems in Infinite Dimensions: Generalized and Regularized Solutions presents stochastic differential equations for random processes with values in Hilbert spaces. Accessible to non-specialists, the book explores how modern semi-group and distribution methods relate to the methods of infinite-dimensional stochastic analysis. It also shows how the idea of regularization in a broad sense pervades all these methods and is useful for numerical realization and applications of the theory. The book presents generalized solutions to the Cauchy problem in its initial form with white noise processes in spaces of distributions. It also covers the "classical" approach to stochastic problems involving the solution of corresponding integral equations. The first part of the text gives a self-contained introduction to modern semi-group and abstract distribution methods for solving the homogeneous (deterministic) Cauchy problem. In the second part, the author solves stochastic problems using semi-group and distribution methods as well as the methods of infinite-dimensional stochastic analysis.
Stochastic Equations in Infinite Dimensions
Author | : Giuseppe Da Prato,Jerzy Zabczyk |
Publsiher | : Cambridge University Press |
Total Pages | : 513 |
Release | : 2014-04-17 |
Genre | : Mathematics |
ISBN | : 9781107055841 |
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Updates in this second edition include two brand new chapters and an even more comprehensive bibliography.
Stochastic Differential Equations in Infinite Dimensional Spaces
Author | : G. Kallianpur,Jie Xiong |
Publsiher | : IMS |
Total Pages | : 356 |
Release | : 1995 |
Genre | : Mathematics |
ISBN | : 0940600382 |
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Infinite Dimensional Stochastic Analysis
Author | : Hui-Hsiung Kuo,Ambar N. Sengupta,Padmanabhan Sundar |
Publsiher | : World Scientific |
Total Pages | : 257 |
Release | : 2008 |
Genre | : Mathematics |
ISBN | : 9789812779557 |
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This volume contains current work at the frontiers of research in infinite dimensional stochastic analysis. It presents a carefully chosen collection of articles by experts to highlight the latest developments in white noise theory, infinite dimensional transforms, quantum probability, stochastic partial differential equations, and applications to mathematical finance. Included in this volume are expository papers which will help increase communication between researchers working in these areas. The tools and techniques presented here will be of great value to research mathematicians, graduate students and applied mathematicians. Sample Chapter(s). Complex White Noise and the Infinite Dimensional Unitary Group (425 KB). Contents: Complex White Noise and the Infinite Dimensional Unitary Group (T Hida); Complex It Formulas (M Redfern); White Noise Analysis: Background and a Recent Application (J Becnel & A N Sengupta); Probability Measures with Sub-Additive Principal SzegAOCoJacobi Parameters (A Stan); Donsker''s Functional Calculus and Related Questions (P-L Chow & J Potthoff); Stochastic Analysis of Tidal Dynamics Equation (U Manna et al.); Adapted Solutions to the Backward Stochastic NavierOCoStokes Equations in 3D (P Sundar & H Yin); Spaces of Test and Generalized Functions of Arcsine White Noise Formulas (A Barhoumi et al.); An Infinite Dimensional Fourier-Mehler Transform and the L(r)vy Laplacian (K Saito & K Sakabe); The Heat Operator in Infinite Dimensions (B C Hall); Quantum Stochastic Dilation of Symmetric Covariant Completely Positive Semigroups with Unbounded Generator (D Goswami & K B Sinha); White Noise Analysis in the Theory of Three-Manifold Quantum Invariants (A Hahn); A New Explicit Formula for the Solution of the BlackOCoMertonOCoScholes Equation (J A Goldstein et al.); Volatility Models of the Yield Curve (V Goodman). Readership: Graduate-level researchers in stochastic analysis, mathematical physics and financial mathematic
Stochastic Analysis on Infinite Dimensional Spaces
Author | : H Kunita,Hui-Hsiung Kuo |
Publsiher | : CRC Press |
Total Pages | : 340 |
Release | : 1994-08-22 |
Genre | : Mathematics |
ISBN | : 0582244900 |
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The book discusses the following topics in stochastic analysis: 1. Stochastic analysis related to Lie groups: stochastic analysis of loop spaces and infinite dimensional manifolds has been developed rapidly after the fundamental works of Gross and Malliavin. (Lectures by Driver, Gross, Mitoma, and Sengupta.)
Advances in Deterministic and Stochastic Analysis
Author | : N. M. Chuong |
Publsiher | : World Scientific |
Total Pages | : 372 |
Release | : 2007 |
Genre | : Mathematics |
ISBN | : 9789812770493 |
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This volume collects articles in pure and applied analysis, partial differential equations, geometric analysis and stochastic and infinite-dimensional analysis. In particular, the contributors discuss integral and pseudo-differential operators, which play an important role in partial differential equations. Other methods of solving the partial differential equations are considered, such as the min-max approach to variational problems and boundary value problems. The foundations of quantum mechanics from the viewpoints of infinite-dimensional spaces and Bell''s inequality and contraction are also mentioned.