Stochastic differential equations : theory and applications / editors Peter H. Baxendale, Sergey V. Lototsky.

Format:

Book

Contributor:

Baxendale, Peter H.

Lototsky, Sergey V.

Louis A. Duhring Fund.

Series:

Interdisciplinary mathematical sciences ; v. 2.

Interdisciplinary mathematical sciences ; v. 2

Language:

English

Subjects (All):

Rozovskiĭ, B. L. (Boris Lʹvovich).

Rozovskiĭ, B. L.

Stochastic differential equations.

Genre:

Festschriften.

Physical Description:

xxii, 393 pages : portrait ; 26 cm.

Place of Publication:

Singapore : World Scientific, 2007.

Summary:

The first paper in the volume, Stochastic Evolution Equations by N V Krylov and B L Rozovskii, was originally published in Russian in 1979. After more than a quarter-century, this paper remains a standard reference in the field of stochastic partial differential equations (SPDEs) and continues to attract attention of mathematicians of all generations, because, together with a short but thorough introduction to SPDEs, it presents a number of optimal and essentially non-improvable results about solvability for a large class of both linear and non-linear equations.

The other papers in this volume were specially written for the occasion of Prof Rozovskii's 60th birthday. The 14 contributions deal with a wide range of topics in the theory and applications of stochastic differential equations, both ordinary and with partial derivatives. Book jacket.

Contents:

Boris Rozovskii ix

Publications of B. L. Rozovskii xi

1 Stochastic Evolution Equations / N. V. Krylov, B. L. Rozovskii 1

2 Predictability of the Burgers Dynamics Under Model Uncertainty / D. Blomker, J. Duan 71

3 Asymptotics for the Space-Time Wigner Transform with Applications to Imaging / L. Borcea, G. Papanicolaou, C. Tsogka 91

4 The Korteweg-de Vries Equation with Multiplicative Homogeneous Noise / A. de Bouard, A. Debussche 113

5 On Stochastic Burgers Equation Driven by a Fractional Laplacian and Space-Time White Noise / Z. Brzezniak, L. Debbi 135

6 Stochastic Control Methods for the Problem of Optimal Compensation of Executives / A. Cadenillas, J. Cvitanic, F. Zapatero 169

7 The Freidlin-Wentzell LDP with Rapidly Growing Coefficients / P. Chigansky, R. Liptser 197

8 On the Convergence Rates of a General Class of Weak Approximations of SDEs / D. Crisan, S. Ghazali 221

9 Flow Properties of Differential Equations Driven by Fractional Brownian Motion / L. Decreusefond, D. Nualart 249

10 Regularity of Transition Semigroups Associated to a 3D Stochastic Navier-Stokes Equation / F. Flandoli, M. Romito 263

11 Rate of Convergence of Implicit Approximations for Stochastic Evolution Equations / I. Gyongy, A. Millet 281

12 Maximum Principle for SPDEs and Its Applications / N. V. Krylov 311

13 On Delay Estimation and Testing for Diffusion Type Processes / Yu. A. Kutoyants 339

14 On Cauchy-Dirichlet Problem for Linear Integro-Differential Equation in Weighted Sobolev Spaces / R. Mikulevicius, H. Pragarauskas 357

15 Strict Solutions of Kolmogorov Equations in Hilbert Spaces and Applications / G. Da Prato 375.

Notes:

"A volume in honor of Professor Boris L. Rozovskii"--T.p.

Includes bibliographical references and index.

Local Notes:

Acquired for the Penn Libraries with assistance from the Louis A. Duhring Fund.

ISBN:

9812706623

9789812706621

OCLC:

153579862