Stochastic Partial Differential Equations with Levy Noise

- An Evolution Equation Approach (Series Number 113: Stochastic Partial Differential Equations with Levy Noise: An Evolution Equation)

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Stochastic Partial Differential Equations with Levy Noise
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Format:
Bog, hardback
Udgivelsesdato:
11-10-2007
Sprog:
Engelsk
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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 appeared here for the first time in book form. 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.

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Udgivelsesdato:
11-10-2007
ISBN13:
9780521879897
Vægt:
780 g
Dybde:
29 mm
Bredde:
165 mm
Højde:
235 mm
Nummer i serien:
113
Nummer i serien:
113
Format:
Hardback
Forfattere
Bibliotekernes beskrivelse Comprehensive monograph detailing evolution equation approach to the solution of stochastic partial differential equations driven by Levy space-time noise, by two leading international experts. The majority of results appear here for the first time in book form and the volume is sure to stimulate further research in this important field. Worked examples or Exercises

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