Helge Holden, Bernt Øksendal, Jan Ubøe, Tusheng Zhang

eBook, PDF

Stochastic Partial Differential Equations (eBook, PDF)

A Modeling, White Noise Functional Approach

Beschreibung

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 Lévy 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.

Technische Details

• Geräte: PC
• ohne Kopierschutz
• Größe: 3.69MB

Barrierefreiheit

• Text-to-Speech

Autor

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.

Produktdetails

• Verlag: Springer US
• Seitenzahl: 304
• Erscheinungstermin: 1. Dezember 2009
• Englisch
• ISBN-13: 9780387894881
• Artikelnr.: 43728785

Rezensionen

"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