Stochastic Cauchy Problems in Infinite Dimensions (eBook, ePUB) - Melnikova, Irina V.
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  • Format: ePub

This book presents stochastic differential equations for random processes with values in Hilbert spaces. The first part of the text gives a self-contained introduction to modern semi-group and abstract distribution methods for solving the homogeneous (deterministic) Cauchy problem. In the second part, the author solves stochastic problems using semi-group and distribution methods as well as the methods of infinite-dimensional stochastic analysis. The book includes many examples involving generators of integrated, convoluted, and R -semi-groups.

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Produktbeschreibung
This book presents stochastic differential equations for random processes with values in Hilbert spaces. The first part of the text gives a self-contained introduction to modern semi-group and abstract distribution methods for solving the homogeneous (deterministic) Cauchy problem. In the second part, the author solves stochastic problems using semi-group and distribution methods as well as the methods of infinite-dimensional stochastic analysis. The book includes many examples involving generators of integrated, convoluted, and R-semi-groups.

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Autorenporträt
Irina V. Melnikova is a professor in the Institute of Mathematics and Computer Sciences at Ural Federal University. Her research interests include analysis, applied mathematics, and probability theory.