Stochastic PDE s and Kolmogorov equations in infinite dimensions : lectures given at the 2nd session of the Centro internazionale matematico estivo (CIME) held in Cetraro, Italy, August 24-September 1, 1998
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...
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| Aineistotyyppi: | Livre numérique |
| Kieli: | Anglais |
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Berlin [etc.] :
Springer
[20..].
Cham : Springer Nature |
| Sarja: | Lecture notes in mathematics
1715 |
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ISSN et numérotation dans la collection principale : 1617-9692 ; 1715 Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
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| Edition sous un autre format: | • Stochastic PDE's and Kolmogorov equations in infinite dimensions, lectures given at the 2nd session of the Centro internazionale matematico estivo (CIME) held in Cetraro, Italy, August 24-September 1, 1998, N. V. Krylov, M. Röckner, J. Zabczyk, 1999, Berlin, Springer, 1 vol. (VIII-239 p.), Lecture notes in mathematics, 3-540-66545-5 • Stochastic PDE's and Kolmogorov Equations in Infinite Dimensions, Texte imprimé, 9783662168448 |
| Yhteenveto: | 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. |
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| Huomautukset: | ISSN et numérotation dans la collection principale : 1617-9692 ; 1715 Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| ISBN: | 9783540481614 (PDF) |
| ISSN: | 1617-9692 |
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