Recent years have seen an explosion of interest in stochastic partial differential equations where the driving noise is discontinuous. In this comprehensive monograph, two leading experts detail the evolution equation approach to their solution. Most of the results appear here for the first time in book form, and the volume is sure to stimulate further research in this important field. The authors start with a detailed analysis of Levy processes in infinite dimensions and their reproducing kernel Hilbert spaces; cylindrical Levy processes are constructed in terms of Poisson random measures; stochastic integrals are introduced. Stochastic parabolic and hyperbolic equations on domains of arbitrary dimensions are studied, and applications to statistical and fluid mechanics and to finance are also investigated. Ideal for researchers and graduate students in stochastic processes and partial differential equations, this self-contained text will also interest those working on stochastic modeling in finance, statistical physics and environmental science.

This book is devoted to the asymptotic properties of solutions of stochastic evolution equations in infinite dimensional spaces. It is divided into three parts: Markovian dynamical systems; invariant measures for stochastic evolution equations; and invariant measures for specific models. The focus is on models of dynamical processes affected by white noise, which are described by partial differential equations such as the reaction-diffusion equations or Navier-Stokes equations. Besides existence and uniqueness questions, the authors pay special attention to the asymptotic behavior of the solutions, to invariant measures and ergodicity. The authors present some of the results found here for the first time. For all whose research interests involve stochastic modeling, dynamical systems, or ergodic theory, this book will be an essential purchase.

Kolmogorov equations are second order parabolic equations with a finite or an infinite number of variables. They are deeply connected with stochastic differential equations in finite or infinite dimensional spaces. They arise in many fields as Mathematical Physics, Chemistry and Mathematical Finance. These equations can be studied both by probabilistic and by analytic methods, using such tools as Gaussian measures, Dirichlet Forms, and stochastic calculus. The following courses have been delivered: N.V. Krylov presented Kolmogorov equations coming from finite-dimensional equations, giving existence, uniqueness and regularity results. M. Röckner has presented an approach to Kolmogorov equations in infinite dimensions, based on an LP-analysis of the corresponding diffusion operators with respect to suitably chosen measures. J. Zabczyk started from classical results of L. Gross, on the heat equation in infinite dimension, and discussed some recent results.