Stochastic Partial Differential Equations and Applications

Proceedings of a Conference held in Trento, Italy, September 30 - October 5, 1985

268 Seiten, Taschenbuch

Kurzbeschreibung des Verlags

Existence and uniqueness results for a non linear stochastic partial differential equation.- Continuity in non linear filtering some different approacees.- Expectation functionals associated with some stochastic evolution equations.- Dirichlet boundary value problem and optimal control for a stochastic distributed parameter system.- Stochastic product integration and stochastic equations.- Some remarks on a problem in stochastic optimal control.- Passage from two-parameters to infinite dimension.- The heat equation and fourier transforms of generalized brownian functionals.- The separation principle for stochastic differential equations with unbounded coefficients.- Weak convergence of measure valued processes using sobolev-imbedding techniques.- Probability distributions of solutions to some stochastic partial differential equations.- Two-sided stochastic calculus for spdes.- Convergence of implicit discretization schemes for linear differential equations with application to filtering.- Some applications of the Malliavin calculus to stochastic analysis.- Exit problem for infinite dimensional systems.

• Reihe: Lecture Notes in Mathematics
• Themen: Mathematik und Naturwissenschaften Mathematik Mathematische Analysis, allgemein
• ISBN: 9783540172116
• Sprache: Englisch
• Erscheinungsdatum: 25.03.1987
• Größe: 235 x 155 mm
• Verlag: Springer
• Herausgegeben von: Giuseppe Da Prato, Luciano Tubaro