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Peszat S., Zabczyk J. — Stochastic partial differential equations with Levy noise: An evolution equation approach
Peszat S., Zabczyk J. — Stochastic partial differential equations with Levy noise: An evolution equation approach



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Название: Stochastic partial differential equations with Levy noise: An evolution equation approach

Авторы: Peszat S., Zabczyk J.

Аннотация:

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 L?vy processes in infinite dimensions and their reproducing kernel Hilbert spaces; cylindrical L?vy 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.


Язык: en

Рубрика: Математика/

Статус предметного указателя: Готов указатель с номерами страниц

ed2k: ed2k stats

Год издания: 2007

Количество страниц: 424

Добавлена в каталог: 24.11.2013

Операции: Положить на полку | Скопировать ссылку для форума | Скопировать ID
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Предметный указатель
Tempered distributions      240
Theorem, Aronson      18
Theorem, Bochner      72
Theorem, Borel Isomorphism      4
Theorem, Caratheodory      23
Theorem, Courrege      8
Theorem, De Acosta      39
Theorem, Delbaen — Schachermayer      327
Theorem, Dilation      160
Theorem, Doob regularity      33
Theorem, Doob — Meyer      35
Theorem, Douglas      364
Theorem, Dynkin $\pi-\lambda$      20
Theorem, Femique      30
Theorem, Frobenius — Perron      302
Theorem, Hille — Yosida      365
Theorem, Ito — Nisio      23
Theorem, Kinney      27
Theorem, Kolmogorov      22
Theorem, Kruglov      39
Theorem, Krylov — Bogolyubov      288
Theorem, Kuratowski — Ryll — Nardzewski      114
Theorem, Lumer — Phillips      366
Theorem, Skorokhod embedding      5
Theorem, Tauberian      315
Theorem, Tortrat      74
Theorem, Ulam      23
Tortrat theorem      74
Trace      357
Trace operator      8
Trajectory      3 5
Transition function      3
Transition probability      3 6 10
Transition semigroup      7
Translation operator      84
Translations on S'($\mathbb{R}^{d}$)      246
Two-sided exponentially tempered stable coordinates      64
Ulam theorem      23
Uniform integrable sequence      25
Uniform motion      78
Usual conditions      22
Variation-of-constants formula      140
Volatility      333
Weighted spaces      15
Weights, exponential      15
Weights, polynomial      15
White noise, discrete-time      4
White noise, Gaussian space-time      98
White noise, impulsive      100—105
Wiener process      44
Wiener process with respect to filtration      44
Wiener process, cylindrical      97
Wiener process, standard      44
Wong — Zakai correction term      351
Yosida approximation      180 184 365
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