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Kotelenez P. — Stochastic Ordinary and Stochastic Partial Differential Equations: Transition from Microscopic to Macroscopic Equations
Kotelenez P. — Stochastic Ordinary and Stochastic Partial Differential Equations: Transition from Microscopic to Macroscopic Equations

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Название: Stochastic Ordinary and Stochastic Partial Differential Equations: Transition from Microscopic to Macroscopic Equations

Автор: Kotelenez P.

Аннотация:

This book provides the first rigorous derivation of mesoscopic and macroscopic equations from a deterministic system of microscopic equations. The microscopic equations are cast in the form of a deterministic (Newtonian) system of coupled nonlinear oscillators for N large particles and infinitely many small particles. The mesoscopic equations are stochastic ordinary differential equations (SODEs) and stochastic partial differential equatuions (SPDEs), and the macroscopic limit is described by a parabolic partial differential equation.
A detailed analysis of the SODEs and (quasi-linear) SPDEs is presented. Semi-linear (parabolic) SPDEs are represented as first order stochastic transport equations driven by Stratonovich differentials. The time evolution of correlated Brownian motions is shown to be consistent with the depletion phenomena experimentally observed in colloids. A covariance analysis of the random processes and random fields as well as a review section of various approaches to SPDEs are also provided. An extensive appendix makes the book accessible to both scientists and graduate students who may not be specialized in stochastic analysis.


Язык: en

Рубрика: Математика/

Статус предметного указателя: Неизвестно

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Год издания: 2007

Количество страниц: 458

Добавлена в каталог: 23.04.2008

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