Stochastic equations in infinite dimensions
The aim of this book is to give a systematic and self-contained presentation of basic results on stochastic evolution equations in infinite dimensional, typically Hilbert and Banach, spaces. These are a generalization of stochastic differential equations as introduced by Itô and Gikham that occur,...
| Otros Autores: | , |
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| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Cambridge :
Cambridge University Press
1992.
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| Colección: | CUP ebooks.
Encyclopedia of mathematics and its applications ; volume 45. |
| Acceso en línea: | Conectar con la versión electrónica |
| Ver en Universidad de Navarra: | https://innopac.unav.es/record=b45432934*spi |
| Sumario: | The aim of this book is to give a systematic and self-contained presentation of basic results on stochastic evolution equations in infinite dimensional, typically Hilbert and Banach, spaces. These are a generalization of stochastic differential equations as introduced by Itô and Gikham that occur, for instance, when describing random phenomena that crop up in science and engineering, as well as in the study of differential equations. The book is divided into three parts. In the first 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. The book ends with a comprehensive bibliography that will contribute to the book's value for all working in stochastic differential equations. |
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| Descripción Física: | 1 recurso electrónico (xviii, 454 páginas) |
| Formato: | Forma de acceso: World Wide Web. |
| ISBN: | 9780511666223 |
