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The main objective of this monograph is the study of a class of stochastic differential systems having unbounded coefficients, both in finite and in infinite dimension. We focus our attention on the regularity properties of the solutions and hence on the smoothing effect of the corresponding transition semigroups in the space of bounded and uniformly continuous functions. As an application of these results, we study the associated Kolmogorov equations, the large-time behaviour of the solutions and some stochastic optimal control problems together with the corresponding Hamilton- Jacobi-Bellman equations. In the literature there exists a large number of works (mostly in finite dimen sion) dealing with these arguments in the case of bounded Lipschitz-continuous coefficients and some of them concern the case of coefficients having linear growth. Few papers concern the case of non-Lipschitz coefficients, but they are mainly re lated to the study of the existence and the uniqueness of solutions for the stochastic system. Actually, the study of any further properties of those systems, such as their regularizing properties or their ergodicity, seems not to be developed widely enough. With these notes we try to cover this gap.
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Contenuti
Kolmogorov equations in Rd with unbounded coefficients.- Asymptotic behaviour of solutions.- Analyticity of the semigroup in a degenerate case.- Smooth dependence on data for the SPDE: the Lipschitz case.- Kolmogorov equations in Hilbert spaces.- Smooth dependence on data for the SPDE: the non-Lipschitz case (I).- Smooth dependence on data for the SPDE: the non-Lipschitz case (II).- Ergodicity.- Hamilton- Jacobi-Bellman equations in Hilbert spaces.- Application to stochastic optimal control problems.
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Second order PDE's in finite and infinite dimension. A probabilistic approach.
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Softcover. Ehem. Bibliotheksexemplar mit Signatur und Stempel. GUTER Zustand, ein paar Gebrauchsspuren. Ex-library in GOOD condition with library-signature and stamp(s). Some traces of use. R-16428 9783540421368 Sprache: Englisch Gewicht in Gramm: 550. Codice articolo 2479832
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Second Order PDE's in Finite and Infinite Dimension : A Probabilistic Approach
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Springer Berlin Heidelberg, 2001
ISBN 10: 354042136X
ISBN 13: 9783540421368
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Condizione: Sehr gut. Zustand: Sehr gut | Seiten: 344 | Sprache: Englisch | Produktart: Sonstiges. Codice articolo 188461/202
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Second Order PDE s in Finite and Infinite Dimension
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Condizione: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. The main objective of this monograph is the study of a class of stochastic differential systems having unbounded coefficients, both in finite and in infinite dimension. We focus our attention on the regularity properties of the solutions and hence on the sm. Codice articolo 4889637
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Second Order PDE's in Finite and Infinite Dimension
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Springer Berlin Heidelberg Jun 2001, 2001
ISBN 10: 354042136X
ISBN 13: 9783540421368
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Da: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Germania
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Taschenbuch. Condizione: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -The main objective of this monograph is the study of a class of stochastic differential systems having unbounded coefficients, both in finite and in infinite dimension. We focus our attention on the regularity properties of the solutions and hence on the smoothing effect of the corresponding transition semigroups in the space of bounded and uniformly continuous functions. As an application of these results, we study the associated Kolmogorov equations, the large-time behaviour of the solutions and some stochastic optimal control problems together with the corresponding Hamilton- Jacobi-Bellman equations. In the literature there exists a large number of works (mostly in finite dimen sion) dealing with these arguments in the case of bounded Lipschitz-continuous coefficients and some of them concern the case of coefficients having linear growth. Few papers concern the case of non-Lipschitz coefficients, but they are mainly re lated to the study of the existence and the uniqueness of solutions for the stochastic system. Actually, the study of any further properties of those systems, such as their regularizing properties or their ergodicity, seems not to be developed widely enough. With these notes we try to cover this gap. 344 pp. Englisch. Codice articolo 9783540421368
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Second Order PDE's in Finite and Infinite Dimension : A Probabilistic Approach
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Springer Berlin Heidelberg, 2001
ISBN 10: 354042136X
ISBN 13: 9783540421368
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Da: AHA-BUCH GmbH, Einbeck, Germania
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Taschenbuch. Condizione: Neu. Druck auf Anfrage Neuware - Printed after ordering - The main objective of this monograph is the study of a class of stochastic differential systems having unbounded coefficients, both in finite and in infinite dimension. We focus our attention on the regularity properties of the solutions and hence on the smoothing effect of the corresponding transition semigroups in the space of bounded and uniformly continuous functions. As an application of these results, we study the associated Kolmogorov equations, the large-time behaviour of the solutions and some stochastic optimal control problems together with the corresponding Hamilton- Jacobi-Bellman equations. In the literature there exists a large number of works (mostly in finite dimen sion) dealing with these arguments in the case of bounded Lipschitz-continuous coefficients and some of them concern the case of coefficients having linear growth. Few papers concern the case of non-Lipschitz coefficients, but they are mainly re lated to the study of the existence and the uniqueness of solutions for the stochastic system. Actually, the study of any further properties of those systems, such as their regularizing properties or their ergodicity, seems not to be developed widely enough. With these notes we try to cover this gap. Codice articolo 9783540421368
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Second Order PDE's in Finite and Infinite Dimension
ISBN 10: 354042136X
ISBN 13: 9783540421368
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Da: buchversandmimpf2000, Emtmannsberg, BAYE, Germania
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Taschenbuch. Condizione: Neu. Neuware -The main objective of this monograph is the study of a class of stochastic differential systems having unbounded coefficients, both in finite and in infinite dimension. We focus our attention on the regularity properties of the solutions and hence on the smoothing effect of the corresponding transition semigroups in the space of bounded and uniformly continuous functions. As an application of these results, we study the associated Kolmogorov equations, the large-time behaviour of the solutions and some stochastic optimal control problems together with the corresponding Hamilton- Jacobi-Bellman equations. In the literature there exists a large number of works (mostly in finite dimen sion) dealing with these arguments in the case of bounded Lipschitz-continuous coefficients and some of them concern the case of coefficients having linear growth. Few papers concern the case of non-Lipschitz coefficients, but they are mainly re lated to the study of the existence and the uniqueness of solutions for the stochastic system. Actually, the study of any further properties of those systems, such as their regularizing properties or their ergodicity, seems not to be developed widely enough. With these notes we try to cover this gap.Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 344 pp. Englisch. Codice articolo 9783540421368
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Second Order Pde's in Finite and Infinite Dimension : A Probabilistic Approach
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Second Order PDE's in Finite & Infinite Dimensions
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Second Order Pde's in Finite and Infinite Dimension : A Probabilistic Approach
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