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

Format:

Book

Contributor:

Baxendale, Peter H.

Lototsky, Sergey V.

Series:

Interdisciplinary mathematical sciences ; v. 2.

Interdisciplinary mathematical sciences ; v. 2

Language:

English

Subjects (All):

Stochastic differential equations.

Rozovskii, B. L. (Boris Lvovich).

Rozovskii, B. L.

Physical Description:

1 online resource (416 p.)

Edition:

1st ed.

Place of Publication:

Singapore : World Scientific, 2007.

Language Note:

English

Summary:

This volume consists of 15 articles written by experts in stochastic analysis. 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 the attention of mathematicians of all generations. Together with a short but thorough introduction to SPDEs, it presents a number of optimal, and essentially unimprovable, results about solvability for a large clas

Contents:

Preface; Boris Rozovskii; Publications of B. L. Rozovskii; Contents; 1. Stochastic Evolution Equations N. V. Krylov and B. L. Rozovskii; 2. Predictability of the Burgers Dynamics Under Model Uncertainty D. Bl omker and J. Duan; 3. Asymptotics for the Space-Time Wigner Transform with Applications to Imaging L. Borcea, G. Papanicolaou, and C. Tsogka; 4. The Korteweg-de Vries Equation with Multiplicative Homogeneous Noise A. de Bouard and A. Debussche; 5. On Stochastic Burgers Equation Driven by a Fractional Laplacian and Space-Time White Noise Z. Brze zniak and L. Debbi

6. Stochastic Control Methods for the Problem of Optimal Compensation of Executives A. Cadenillas, J. Cvitani c, and F. Zapatero7. The Freidlin-Wentzell LDP with Rapidly Growing Coe cients P. Chigansky and R. Liptser; 8. On the Convergence Rates of a General Class of Weak Approximations of SDEs D. Crisan and S. Ghazali; 9. Flow Properties of Di erential Equations Driven by Fractional Brownian Motion L. Decreusefond and D. Nualart; 10. Regularity of Transition Semigroups Associated to a 3D Stochastic Navier-Stokes Equation F. Flandoli and M. Romito

11. Rate of Convergence of Implicit Approximations for Stochastic Evolution Equations I. Gy ongy and A. Millet12. Maximum Principle for SPDEs and Its Applications N. V. Krylov; 13. On Delay Estimation and Testing for Di usion Type Processes Yu. A. Kutoyants; 14. On Cauchy-Dirichlet Problem for Linear Integro-Di erential Equation in Weighted Sobolev Spaces R. Mikulevicius and H. Pragarauskas; 15. Strict Solutions of Kolmogorov Equations in Hilbert Spaces and Applications G. Da Prato; Author Index; Subject Index

Notes:

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

Includes bibliographical references and index.

ISBN:

9786611121808

9781281121806

1281121800

9789812770639

9812770631

OCLC:

476099699