Random Obstacle Problems

École d'Été de Probabilités de Saint-Flour XLV - 2015

AvLorenzo Zambotti

Häftad, Engelska, 2017

Del 2181 i serien Lecture Notes in Mathematics

380 kr

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Beskrivning

Studying the fine properties of solutions to Stochastic (Partial) Differential Equations with reflection at a boundary, this book begins with a discussion of classical one-dimensional diffusions as the reflecting Brownian motion, devoting a chapter to Bessel processes, and moves on to function-valued solutions to SPDEs.

Produktinformation

Utgivningsdatum:2017-02-28
Mått:155 x 235 x 10 mm
Vikt:284 g
Format:Häftad
Språk:Engelska
Serie:Lecture Notes in Mathematics
Antal sidor:162
Förlag:Springer International Publishing AG
ISBN:9783319520957

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Recensioner i media

“This book is an excellent, rigorous monograph on stochastic partial differential equations with reflections at a boundary. … Engineers who struggle with numerical solutions of heat equations and Fokker-Plank equations in phase lock theory in white and colored noise will find this book useful. The author is a leading contributor to this field and has noted several open problems” (Nirode C. Mohanty, zbMATH 1386.60002, 2018)“I found the book very well written and informative, with something interesting to be found on every page. ... The exercises throughout the text and the list of open problems at the end of each chapter make the book suitable for a special topics graduate course.” (Sergey V. Lototsky, Mathematical Reviews, December, 2017)

Innehållsförteckning

1 Introduction.- 2 The reflecting Brownian motion.- 3 Bessel processes.- 4 The stochastic heat equation.- 5 Obstacle problems.- 6 Integration by Parts Formulae.- 7 The contact set.- References.