Erschienen: 08.06.2007 Abbildung von Prévôt / Röckner | A Concise Course on Stochastic Partial Differential Equations | 2007 | 1905

Prévôt / Röckner

A Concise Course on Stochastic Partial Differential Equations

2007. Buch. vI, 148 S. Bibliographien. Softcover

Springer. ISBN 978-3-540-70780-6

Format (B x L): 15,5 x 23,5 cm

Gewicht: 510 g

In englischer Sprache

Das Werk ist Teil der Reihe: Lecture Notes in Mathematics; 1905

Produktbeschreibung

These lectures concentrate on (nonlinear) stochastic partial differential equations (SPDE) of evolutionary type. All kinds of dynamics with stochastic influence in nature or man-made complex systems can be modelled by such equations. To keep the technicalities minimal we confine ourselves to the case where the noise term is given by a stochastic integral w.r.t. a cylindrical Wiener process.But all results can be easily generalized to SPDE with more general noises such as, for instance, stochastic integral w.r.t. a continuous local martingale. There are basically three approaches to analyze SPDE: the "martingale measure approach", the "mild solution approach" and the "variational approach". The purpose of these notes is to give a concise and as self-contained as possible an introduction to the "variational approach". A large part of necessary background material, such as definitions and results from the theory of Hilbert spaces, are included in appendices.

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