Stochastic Partial Differential Equations (häftad)
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Format
Häftad (Paperback / softback)
Språk
Engelska
Antal sidor
305
Utgivningsdatum
2009-12-04
Upplaga
2nd ed. 2010
Förlag
Springer-Verlag New York Inc.
Medarbetare
ksendal, Bernt / Ube, Jan
Illustratör/Fotograf
1 schwarz-weiße Fotos 17 schwarz-weiße Abbildungen 16 schwarz-weiße Zeichnungen
Illustrationer
17 Illustrations, black and white; XV, 305 p. 17 illus.
Dimensioner
234 x 156 x 17 mm
Vikt
454 g
Antal komponenter
1
Komponenter
1 Paperback / softback
ISBN
9780387894874

Stochastic Partial Differential Equations

A Modeling, White Noise Functional Approach

av Helge Holden, Bernt Ksendal, Jan Ube, Tusheng Zhang
Häftad,  Engelska, 2009-12-04
1091
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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 Levy 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.
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Helge Holden, Bernt Ksendal, Jan Ube, Tusheng Zhang

Övrig information

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 ksendal 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 Ube 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 ksendal and others.

Innehållsförteckning

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 Lvy 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 Lvy processes- References.- List of frequently used notation and symbols.- Index.

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