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Books > Science & Mathematics > Mathematics > Calculus & mathematical analysis > Differential equations
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Stochastic Differential Equations in Infinite Dimensions - with Applications to Stochastic Partial Differential Equations (Hardcover, 2011 ed.)
Loot Price: R2,486
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Stochastic Differential Equations in Infinite Dimensions - with Applications to Stochastic Partial Differential Equations (Hardcover, 2011 ed.)
Series: Probability and Its Applications
Expected to ship within 12 - 17 working days
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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.
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