Holden / Øksendal / Ubøe Stochastic Partial Differential Equations

A Modeling, White Noise Functional Approach
2. Auflage 2010
ISBN: 978-0-387-89488-1
Verlag: Springer US
Format: PDF
Kopierschutz: 1 - PDF Watermark

E-Book, Englisch, 305 Seiten, eBook

Reihe: Universitext

Zielgruppe

Research

Autoren/Hrsg.

Holden, Helge

Øksendal, Bernt

Ubøe, Jan

Zhang, Tusheng

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.