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Stochastic Partial Differential Equations : An Introduction / by Étienne Pardoux

By: Resource type: Ressourcentyp: Buch (Online)Book (Online)Language: English Series: SpringerBriefs in Mathematics | Springer eBook CollectionPublisher: Cham : Springer, 2021Description: 1 Online-Ressource (VIII, 74 p.)ISBN:
  • 9783030890032
Subject(s): Additional physical formats: 9783030890025 | 9783030890049 | Erscheint auch als: 9783030890025 Druck-Ausgabe | Erscheint auch als: 9783030890049 Druck-Ausgabe | Erscheint auch als: Stochastic partial differential equations. Druck-Ausgabe Cham, Switzerland : Springer Nature, 2021. viii, 74 SeitenDOI: DOI: 10.1007/978-3-030-89003-2Online resources: Summary: -1. Introduction and Motivation -- 2. SPDEs as Infinite-Dimensional SDEs -- 3. SPDEs Driven By Space-Time White Noise -- References -- Index.Summary: This book gives a concise introduction to the classical theory of stochastic partial differential equations (SPDEs). It begins by describing the classes of equations which are studied later in the book, together with a list of motivating examples of SPDEs which are used in physics, population dynamics, neurophysiology, finance and signal processing. The central part of the book studies SPDEs as infinite-dimensional SDEs, based on the variational approach to PDEs. This extends both the classical Itô formulation and the martingale problem approach due to Stroock and Varadhan. The final chapter considers the solution of a space-time white noise-driven SPDE as a real-valued function of time and (one-dimensional) space. The results of J. Walsh's St Flour notes on the existence, uniqueness and Hölder regularity of the solution are presented. In addition, conditions are given under which the solution remains nonnegative, and the Malliavin calculus is applied. Lastly, reflected SPDEs and their connection with super Brownian motion are considered. At a time when new sophisticated branches of the subject are being developed, this book will be a welcome reference on classical SPDEs for newcomers to the theory.PPN: PPN: 1775865398Package identifier: Produktsigel: ZDB-2-SEB | ZDB-2-SMA | ZDB-2-SXMS
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