無限次元の確率微分方程式 Stochastic Differential Equations in Infinite Dimensions : With Applications to Stochastic Partial Differential Equations (Probability and its Applications)

Gawarecki, L./ Mandrekar, V.

Springer（2010/12発売）

• 製本 Hardcover:ハードカバー版／ページ数 274 p.
• 商品コード 9783642161933

基本説明

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.

Full Description

This volume offers comprehensive coverage of modern techniques used for solving problems in infinite dimensional stochastic differential equations. It presents major methods, including compactness, coercivity, monotonicity, in different set-ups.