Stochastic Partial Differential Equations

A Modeling, White Noise Functional Approach
2. Auflage 2010
ISBN: 978-0-387-89487-4
Verlag: Springer

Buch, Englisch, 304 Seiten, Format (B × H): 158 mm x 236 mm, Gewicht: 1010 g

Reihe: Universitext

The first edition of Stochastic Partial Differential Equations: A Modeling, White Noise Functional Approach, gave a comprehensive introduction to SPDEs. In this, the second edition, the authors build on the theory of SPDEs driven by space-time Brownian motion, or more generally, space-time Lévy process noise. Applications of the theory are emphasized throughout. The stochastic pressure equation for fluid flow in porous media is treated, as are applications to finance.

Graduate students in pure and applied mathematics as well as researchers in SPDEs, physics, and engineering will find this introduction indispensible. Useful exercises are collected at the end of each chapter.

Zielgruppe

Research

Autoren/Hrsg.

Holden, Helge

Øksendal, Bernt

Ubøe, Jan

Zhang, Tusheng

Fachgebiete

• Mathematik | Informatik Mathematik Mathematische Analysis Differentialrechnungen und -gleichungen
• Technische Wissenschaften Technik Allgemein Mathematik für Ingenieure
• Naturwissenschaften Physik Physik Allgemein Theoretische Physik, Mathematische Physik, Computerphysik
• Mathematik | Informatik Mathematik Stochastik
• Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Angewandte Mathematik, Mathematische Modelle
• Mathematik | Informatik Mathematik Mathematik Interdisziplinär Finanz- und Versicherungsmathematik

Inhaltsverzeichnis

Preface to the Second Edition.- Preface to the First Edition.- Introduction.- Framework.- Applications to stochastic ordinary differential equations.- Stochastic partial differential equations driven by Brownian white noise.- Stochastic partial differential equations driven by Lévy white noise.- Appendix A. The Bochner-Minlos theorem.- Appendix B. Stochastic calculus based on Brownian motion.- Appendix C. Properties of Hermite polynomials.- Appendix D. Independence of bases in Wick products.- Appendix E. Stochastic calculus based on Lévy processes- References.- List of frequently used notation and symbols.- Index.

Über Autor(innen)

Helge Holden is a professor of mathematics at the Norwegian University of Science and Technology and an adjunt professor at the Center of Mathematics for Applications, part of the University of Oslo. He has done extensive research in stochastic analysis, in particular in its application to flow in porous media.

Bernt Øksendal is a professor at the Center of Mathematics for Applications at the University of Oslo. He is a winner of the Nansen Prize for research in stochastic analysis and its applications.

Jan Ubøe is a professor in the Department of Finance and Management Sciences at the Norwegian School of Economics and Business Administration. He has written many papers about this subject.

Tusheng Zhang is a professor of probability at the University of Manchester. His current area of research is stochastic differential and partial differential equations, and he recently published a monograph on fractional Brownian fields with Bernt Øksendal and others.