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Stochastic Cauchy Problems in Infinite Dimensions : Generalized and Regularized Solutions (Hardcover)

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Melnikova explores stochastic differential equations for random processes with values in Hilbert spaces. Her goal is to give nonspecialists an account of modern semi-groups and distribution methods in their interrelations with the methods of infinite-dimensional stochastic analysis. She also shows how the idea of regularization, which she treats as the regularization in a broad sense, runs through all these methods. Among the topics are distribution methods for constructing generalized solutions to ill-posed Cauchy problems, and infinite-dimensional stochastic Cauchy problems with white noise processes in spaces of distributions. Annotation ©2016 Ringgold, Inc., Portland, OR (protoview.com)

Accessible to non-specialists, this book provides a self-contained, complete introduction to the modern theory of stochastic differential equations in infinite-dimensional spaces. It describes various approaches to solve abstract stochastic Cauchy problems. The authors compare these approaches and illustrate them with numerous examples of applications in physics and financial mathematics, including the mathematics of bond markets requiring the infinite-dimensional setting.

Number of Pages: 286
Genre: Mathematics
Sub-Genre: Differential Equations, Functional Analysis
Series Title: Monographs and Research Notes in Mathematics
Format: Hardcover
Publisher: Taylor & Francis
Author: Irina V. Melnikova
Language: English
Street Date: February 19, 2016
TCIN: 16961491
UPC: 9781482210507
Item Number (DPCI): 247-43-4343
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