ENGLISH

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

By J. Zabczyk , S. Peszat

Book information

Publisher
Cambridge University Press
Year
2007
ISBN
0521879892, 9780521879897
LCC
QA274.25 .P47 2007
Open Library ID
OL10438306M
Language
english
Format
DJVU
Filesize
6 MB (6065062 bytes)
Series
Encyclopedia of Mathematics and its Applications
Edition
1
Pages
424\424
Library
Kolxo3
DPI
600
Time added
2009-12-04 00:34:26

Description

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 Lévy processes in infinite dimensions and their reproducing kernel Hilbert spaces; cylindrical Lévy 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.

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