Stochastic Partial Differential Equations (häftad)
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Format
Häftad (Paperback / softback)
Språk
Engelska
Antal sidor
231
Utgivningsdatum
2012-06-16
Upplaga
Softcover reprint of the original 1st ed. 1996
Förlag
Birkhauser Boston Inc
Medarbetare
Oksendal, Bernt / Uboe, Jan
Illustrationer
XII, 231 p.
Dimensioner
234 x 156 x 13 mm
Vikt
354 g
Antal komponenter
1
Komponenter
1 Paperback / softback
ISBN
9781468492170

Stochastic Partial Differential Equations

A Modeling, White Noise Functional Approach

av Helge Holden, Bernt Oksendal, Jan Uboe, Tusheng Zhang
Häftad,  Engelska, 2012-06-16
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This book is based on research that, to a large extent, started around 1990, when a research project on fluid flow in stochastic reservoirs was initiated by a group including some of us with the support of VISTA, a research coopera tion between the Norwegian Academy of Science and Letters and Den norske stats oljeselskap A.S. (Statoil). The purpose of the project was to use stochastic partial differential equations (SPDEs) to describe the flow of fluid in a medium where some of the parameters, e.g., the permeability, were stochastic or "noisy". We soon realized that the theory of SPDEs at the time was insufficient to handle such equations. Therefore it became our aim to develop a new mathematically rigorous theory that satisfied the following conditions. 1) The theory should be physically meaningful and realistic, and the corre sponding solutions should make sense physically and should be useful in applications. 2) The theory should be general enough to handle many of the interesting SPDEs that occur in reservoir theory and related areas. 3) The theory should be strong and efficient enough to allow us to solve th,~se SPDEs explicitly, or at least provide algorithms or approximations for the solutions.
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Helge Holden, Bernt Oksendal, Jan Uboe, Tusheng Zhang

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"The authors have made significant contributions to each of the areas. As a whole, the book is well organized and very carefully written and the details of the proofs are basically spelled out... This is a rich and demanding book It will be of great value for students of probability theory or SPDEs with an interest in the subject, and also for professional probabilists." Mathematical Reviews "...a comprehensive introduction to stochastic partial differential equations." Zentralblatt MATH "This book will be invaluable to anyone interested in doing research in white noise theory or in applying this theory to solving real-world problems." Computing Reviews

Innehållsförteckning

1. Introduction.- 1.1. Modeling by stochastic differential equations.- 2. Framework.- 2.1. White noise.- 2.2. The Wiener-It chaos expansion.- 2.3. Stochastic test functions and stochastic distributions.- 2.4. The Wick product.- 2.5. Wick multiplication and It/Skorohod integration.- 2.6. The Hermite transform.- 2.7. The S)p,rN spaces and the S-transform.- 2.8. The topology of (S)-1N.- 2.9. The F-transform and the Wick product on L1 (?).- 2.10. The Wick product and translation.- 2.11. Positivity.- 3. Applications to stochastic ordinary differential equations.- 3.1. Linear equations.- 3.2. A model for population growth in a crowded stochastic environment.- 3.3. A general existence and uniqueness theorem.- 3.4. The stochastic Volterra equation.- 3.5. Wick products versus ordinary products: A comparison experiment Variance properties.- 3.6. Solution and Wick approximation of quasilinear SDE.- 4. Stochastic partial differential equations.- 4.1. General remarks.- 4.2. The stochastic Poisson equation.- 4.3. The stochastic transport equation.- 4.4. The stochastic Schrdinger equation.- 4.5. The viscous Burgers equation with a stochastic source.- 4.6. The stochastic pressure equation.- 4.7. The heat equation in a stochastic, anisotropic medium.- 4.8. A class of quasilinear parabolic SPDEs.- 4.9. SPDEs driven by Poissonian noise.- Appendix A. The Bochner-Minlos theorem.- Appendix B. A brief review of It calculus.- The It formula.- Stochastic differential equations.- The Girsanov theorem.- Appendix C. Properties of Hermite polynomials.- Appendix D. Independence of bases in Wick products.- References.- List of frequently used notation and symbols.

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