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Stochastic Partial Differential Equations Six Perspectives
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Book Synopsis Stochastic Partial Differential Equations: Six Perspectives by : René Carmona
Download or read book Stochastic Partial Differential Equations: Six Perspectives written by René Carmona and published by American Mathematical Soc.. This book was released on 1999 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presents the main topics of interest in the field of stochastic partial differential equations (SPDEs), emphasizing breakthroughs and such basic issues as the role of SPDEs in stochastic modeling, how SPDEs arise, and how their theory is applied in different disciplines. Emphasis is placed on the genesis and applications of SPDEs, as well as mathematical theory and numerical methods. Suitable for graduate level students, researchers. Annotation copyrighted by Book News, Inc., Portland, OR
Book Synopsis Stochastic Partial Differential Equations by : René Carmona
Download or read book Stochastic Partial Differential Equations written by René Carmona and published by Oxford University Press, USA. This book was released on 2014-06-29 with total page 349 pages. Available in PDF, EPUB and Kindle. Book excerpt: The field of Stochastic Partial Differential Equations (SPDEs) is one of the dynamically developing areas of mathematics. It lies at the cross section of probability, partial differential equations, population biology, and mathematical physics. This title emphasizes the genesis and applications of SPDEs as well as mathematical theory.
Book Synopsis Stochastic Partial Differential Equations by : Sergey V. Lototsky
Download or read book Stochastic Partial Differential Equations written by Sergey V. Lototsky and published by Springer. This book was released on 2017-07-06 with total page 508 pages. Available in PDF, EPUB and Kindle. Book excerpt: Taking readers with a basic knowledge of probability and real analysis to the frontiers of a very active research discipline, this textbook provides all the necessary background from functional analysis and the theory of PDEs. It covers the main types of equations (elliptic, hyperbolic and parabolic) and discusses different types of random forcing. The objective is to give the reader the necessary tools to understand the proofs of existing theorems about SPDEs (from other sources) and perhaps even to formulate and prove a few new ones. Most of the material could be covered in about 40 hours of lectures, as long as not too much time is spent on the general discussion of stochastic analysis in infinite dimensions. As the subject of SPDEs is currently making the transition from the research level to that of a graduate or even undergraduate course, the book attempts to present enough exercise material to fill potential exams and homework assignments. Exercises appear throughout and are usually directly connected to the material discussed at a particular place in the text. The questions usually ask to verify something, so that the reader already knows the answer and, if pressed for time, can move on. Accordingly, no solutions are provided, but there are often hints on how to proceed. The book will be of interest to everybody working in the area of stochastic analysis, from beginning graduate students to experts in the field.
Book Synopsis Stochastic Partial Differential Equations by : Sergey V. Lototsky
Download or read book Stochastic Partial Differential Equations written by Sergey V. Lototsky and published by Springer. This book was released on 2017-07-12 with total page 508 pages. Available in PDF, EPUB and Kindle. Book excerpt: Taking readers with a basic knowledge of probability and real analysis to the frontiers of a very active research discipline, this textbook provides all the necessary background from functional analysis and the theory of PDEs. It covers the main types of equations (elliptic, hyperbolic and parabolic) and discusses different types of random forcing. The objective is to give the reader the necessary tools to understand the proofs of existing theorems about SPDEs (from other sources) and perhaps even to formulate and prove a few new ones. Most of the material could be covered in about 40 hours of lectures, as long as not too much time is spent on the general discussion of stochastic analysis in infinite dimensions. As the subject of SPDEs is currently making the transition from the research level to that of a graduate or even undergraduate course, the book attempts to present enough exercise material to fill potential exams and homework assignments. Exercises appear throughout and are usually directly connected to the material discussed at a particular place in the text. The questions usually ask to verify something, so that the reader already knows the answer and, if pressed for time, can move on. Accordingly, no solutions are provided, but there are often hints on how to proceed. The book will be of interest to everybody working in the area of stochastic analysis, from beginning graduate students to experts in the field.
Book Synopsis A Minicourse on Stochastic Partial Differential Equations by : Robert C. Dalang
Download or read book A Minicourse on Stochastic Partial Differential Equations written by Robert C. Dalang and published by Springer Science & Business Media. This book was released on 2009 with total page 230 pages. Available in PDF, EPUB and Kindle. Book excerpt: This title contains lectures that offer an introduction to modern topics in stochastic partial differential equations and bring together experts whose research is centered on the interface between Gaussian analysis, stochastic analysis, and stochastic PDEs.
Book Synopsis Stochastic Partial Differential Equations with Lévy Noise by : S. Peszat
Download or read book Stochastic Partial Differential Equations with Lévy Noise written by S. Peszat and published by Cambridge University Press. This book was released on 2007-10-11 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: Comprehensive monograph by two leading international experts; includes applications to statistical and fluid mechanics and to finance.
Book Synopsis Analysis of Stochastic Partial Differential Equations by : Davar Khoshnevisan
Download or read book Analysis of Stochastic Partial Differential Equations written by Davar Khoshnevisan and published by American Mathematical Soc.. This book was released on 2014-06-11 with total page 127 pages. Available in PDF, EPUB and Kindle. Book excerpt: The general area of stochastic PDEs is interesting to mathematicians because it contains an enormous number of challenging open problems. There is also a great deal of interest in this topic because it has deep applications in disciplines that range from applied mathematics, statistical mechanics, and theoretical physics, to theoretical neuroscience, theory of complex chemical reactions [including polymer science], fluid dynamics, and mathematical finance. The stochastic PDEs that are studied in this book are similar to the familiar PDE for heat in a thin rod, but with the additional restriction that the external forcing density is a two-parameter stochastic process, or what is more commonly the case, the forcing is a "random noise," also known as a "generalized random field." At several points in the lectures, there are examples that highlight the phenomenon that stochastic PDEs are not a subset of PDEs. In fact, the introduction of noise in some partial differential equations can bring about not a small perturbation, but truly fundamental changes to the system that the underlying PDE is attempting to describe. The topics covered include a brief introduction to the stochastic heat equation, structure theory for the linear stochastic heat equation, and an in-depth look at intermittency properties of the solution to semilinear stochastic heat equations. Specific topics include stochastic integrals à la Norbert Wiener, an infinite-dimensional Itô-type stochastic integral, an example of a parabolic Anderson model, and intermittency fronts. There are many possible approaches to stochastic PDEs. The selection of topics and techniques presented here are informed by the guiding example of the stochastic heat equation. A co-publication of the AMS and CBMS.
Book Synopsis Three Classes of Nonlinear Stochastic Partial Differential Equations by : Jie Xiong
Download or read book Three Classes of Nonlinear Stochastic Partial Differential Equations written by Jie Xiong and published by World Scientific. This book was released on 2013 with total page 177 pages. Available in PDF, EPUB and Kindle. Book excerpt: The study of measure-valued processes in random environments has seen some intensive research activities in recent years whereby interesting nonlinear stochastic partial differential equations (SPDEs) were derived. Due to the nonlinearity and the non-Lipschitz continuity of their coefficients, new techniques and concepts have recently been developed for the study of such SPDEs. These include the conditional Laplace transform technique, the conditional mild solution, and the bridge between SPDEs and some kind of backward stochastic differential equations. This volume provides an introduction to these topics with the aim of attracting more researchers into this exciting and young area of research. It can be considered as the first book of its kind. The tools introduced and developed for the study of measure-valued processes in random environments can be used in a much broader area of nonlinear SPDEs.
Book Synopsis Stochastic Ordinary and Stochastic Partial Differential Equations by : Peter Kotelenez
Download or read book Stochastic Ordinary and Stochastic Partial Differential Equations written by Peter Kotelenez and published by Springer Science & Business Media. This book was released on 2007-12-05 with total page 452 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic Partial Differential Equations analyzes mathematical models of time-dependent physical phenomena on microscopic, macroscopic and mesoscopic levels. It provides a rigorous derivation of each level from the preceding one and examines the resulting mesoscopic equations in detail. Coverage first describes the transition from the microscopic equations to the mesoscopic equations. It then covers a general system for the positions of the large particles.
Book Synopsis Effective Dynamics of Stochastic Partial Differential Equations by : Jinqiao Duan
Download or read book Effective Dynamics of Stochastic Partial Differential Equations written by Jinqiao Duan and published by Elsevier. This book was released on 2014-03-06 with total page 283 pages. Available in PDF, EPUB and Kindle. Book excerpt: Effective Dynamics of Stochastic Partial Differential Equations focuses on stochastic partial differential equations with slow and fast time scales, or large and small spatial scales. The authors have developed basic techniques, such as averaging, slow manifolds, and homogenization, to extract effective dynamics from these stochastic partial differential equations. The authors’ experience both as researchers and teachers enable them to convert current research on extracting effective dynamics of stochastic partial differential equations into concise and comprehensive chapters. The book helps readers by providing an accessible introduction to probability tools in Hilbert space and basics of stochastic partial differential equations. Each chapter also includes exercises and problems to enhance comprehension. New techniques for extracting effective dynamics of infinite dimensional dynamical systems under uncertainty Accessible introduction to probability tools in Hilbert space and basics of stochastic partial differential equations Solutions or hints to all Exercises
Book Synopsis Stochastic Partial Differential Equations and Applications by : Giuseppe Da Prato
Download or read book Stochastic Partial Differential Equations and Applications written by Giuseppe Da Prato and published by CRC Press. This book was released on 2002-04-05 with total page 480 pages. Available in PDF, EPUB and Kindle. Book excerpt: Based on the proceedings of the International Conference on Stochastic Partial Differential Equations and Applications-V held in Trento, Italy, this illuminating reference presents applications in filtering theory, stochastic quantization, quantum probability, and mathematical finance and identifies paths for future research in the field. Stochastic Partial Differential Equations and Applications analyzes recent developments in the study of quantum random fields, control theory, white noise, and fluid dynamics. It presents precise conditions for nontrivial and well-defined scattering, new Gaussian noise terms, models depicting the asymptotic behavior of evolution equations, and solutions to filtering dilemmas in signal processing. With contributions from more than 40 leading experts in the field, Stochastic Partial Differential Equations and Applications is an excellent resource for pure and applied mathematicians; numerical analysts; mathematical physicists; geometers; economists; probabilists; computer scientists; control, electrical, and electronics engineers; and upper-level undergraduate and graduate students in these disciplines.
Book Synopsis Stochastic Partial Differential Equations, Second Edition by : Pao-Liu Chow
Download or read book Stochastic Partial Differential Equations, Second Edition written by Pao-Liu Chow and published by CRC Press. This book was released on 2014-12-10 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis From Lévy-Type Processes to Parabolic SPDEs by : Davar Khoshnevisan
Download or read book From Lévy-Type Processes to Parabolic SPDEs written by Davar Khoshnevisan and published by Birkhäuser. This book was released on 2016-12-22 with total page 220 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume presents the lecture notes from two courses given by Davar Khoshnevisan and René Schilling, respectively, at the second Barcelona Summer School on Stochastic Analysis. René Schilling’s notes are an expanded version of his course on Lévy and Lévy-type processes, the purpose of which is two-fold: on the one hand, the course presents in detail selected properties of the Lévy processes, mainly as Markov processes, and their different constructions, eventually leading to the celebrated Lévy-Itô decomposition. On the other, it identifies the infinitesimal generator of the Lévy process as a pseudo-differential operator whose symbol is the characteristic exponent of the process, making it possible to study the properties of Feller processes as space inhomogeneous processes that locally behave like Lévy processes. The presentation is self-contained, and includes dedicated chapters that review Markov processes, operator semigroups, random measures, etc. In turn, Davar Khoshnevisan’s course investigates selected problems in the field of stochastic partial differential equations of parabolic type. More precisely, the main objective is to establish an Invariance Principle for those equations in a rather general setting, and to deduce, as an application, comparison-type results. The framework in which these problems are addressed goes beyond the classical setting, in the sense that the driving noise is assumed to be a multiplicative space-time white noise on a group, and the underlying elliptic operator corresponds to a generator of a Lévy process on that group. This implies that stochastic integration with respect to the above noise, as well as the existence and uniqueness of a solution for the corresponding equation, become relevant in their own right. These aspects are also developed and supplemented by a wealth of illustrative examples.
Book Synopsis Optimal Control and Partial Differential Equations by : José Luis Menaldi
Download or read book Optimal Control and Partial Differential Equations written by José Luis Menaldi and published by IOS Press. This book was released on 2001 with total page 632 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains more than sixty invited papers of international wellknown scientists in the fields where Alain Bensoussan's contributions have been particularly important: filtering and control of stochastic systems, variationnal problems, applications to economy and finance, numerical analysis... In particular, the extended texts of the lectures of Professors Jens Frehse, Hitashi Ishii, Jacques-Louis Lions, Sanjoy Mitter, Umberto Mosco, Bernt Oksendal, George Papanicolaou, A. Shiryaev, given in the Conference held in Paris on December 4th, 2000 in honor of Professor Alain Bensoussan are included.
Book Synopsis Stochastic Analysis and Applications 2014 by : Dan Crisan
Download or read book Stochastic Analysis and Applications 2014 written by Dan Crisan and published by Springer. This book was released on 2014-12-13 with total page 520 pages. Available in PDF, EPUB and Kindle. Book excerpt: Articles from many of the main contributors to recent progress in stochastic analysis are included in this volume, which provides a snapshot of the current state of the area and its ongoing developments. It constitutes the proceedings of the conference on "Stochastic Analysis and Applications" held at the University of Oxford and the Oxford-Man Institute during 23-27 September, 2013. The conference honored the 60th birthday of Professor Terry Lyons FLSW FRSE FRS, Wallis Professor of Mathematics, University of Oxford. Terry Lyons is one of the leaders in the field of stochastic analysis. His introduction of the notion of rough paths has revolutionized the field, both in theory and in practice. Stochastic Analysis is the branch of mathematics that deals with the analysis of dynamical systems affected by noise. It emerged as a core area of mathematics in the late 20th century and has subsequently developed into an important theory with a wide range of powerful and novel tools, and with impressive applications within and beyond mathematics. Many systems are profoundly affected by stochastic fluctuations and it is not surprising that the array of applications of Stochastic Analysis is vast and touches on many aspects of life. The present volume is intended for researchers and Ph.D. students in stochastic analysis and its applications, stochastic optimization and financial mathematics, as well as financial engineers and quantitative analysts.
Book Synopsis Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective by : René Carmona
Download or read book Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective written by René Carmona and published by Springer Science & Business Media. This book was released on 2007-05-22 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the mathematical issues that arise in modeling the interest rate term structure by casting the interest-rate models as stochastic evolution equations in infinite dimensions. The text includes a crash course on interest rates, a self-contained introduction to infinite dimensional stochastic analysis, and recent results in interest rate theory. From the reviews: "A wonderful book. The authors present some cutting-edge math." --WWW.RISKBOOK.COM
Book Synopsis Nonlinear Partial Differential Equations by : Helge Holden
Download or read book Nonlinear Partial Differential Equations written by Helge Holden and published by Springer Science & Business Media. This book was released on 2012-01-14 with total page 369 pages. Available in PDF, EPUB and Kindle. Book excerpt: The topic of the 2010 Abel Symposium, hosted at the Norwegian Academy of Science and Letters, Oslo, was Nonlinear Partial Differential Equations, the study of which is of fundamental importance in mathematics and in almost all of natural sciences, economics, and engineering. This area of mathematics is currently in the midst of an unprecedented development worldwide. Differential equations are used to model phenomena of increasing complexity, and in areas that have traditionally been outside the realm of mathematics. New analytical tools and numerical methods are dramatically improving our understanding of nonlinear models. Nonlinearity gives rise to novel effects reflected in the appearance of shock waves, turbulence, material defects, etc., and offers challenging mathematical problems. On the other hand, new mathematical developments provide new insight in many applications. These proceedings present a selection of the latest exciting results by world leading researchers.
