Diffusions and Elliptic Operators

Richard F. Bass

ISBN 10: 1475771592 / ISBN 13: 9781475771596

Editore: Springer New York, Springer US Jul 2013, 2013

Riguardo questo articolo

Neuware -A discussion of the interplay of diffusion processes and partial differential equations with an emphasis on probabilistic methods. It begins with stochastic differential equations, the probabilistic machinery needed to study PDE, and moves on to probabilistic representations of solutions for PDE, regularity of solutions and one dimensional diffusions. The author discusses in depth two main types of second order linear differential operators: non-divergence operators and divergence operators, including topics such as the Harnack inequality of Krylov-Safonov for non-divergence operators and heat kernel estimates for divergence form operators, as well as Martingale problems and the Malliavin calculus. While serving as a textbook for a graduate course on diffusion theory with applications to PDE, this will also be a valuable reference to researchers in probability who are interested in PDE, as well as for analysts interested in probabilistic methods.Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 252 pp. Englisch.

Codice articolo 9781475771596

Dati bibliografici

• Titolo: Diffusions and Elliptic Operators
• Editore: Springer New York, Springer US Jul 2013
• Data di pubblicazione: 2013
• Lingua: Inglese
• ISBN 10: 1475771592
• ISBN 13: 9781475771596
• Rilegatura: Taschenbuch
• Condizione: Neu
• Dimensioni: 235 L x 155 A x 14 P (millimetri) 235 millimetri di larghezza per 155 millimetri di altezza per 14 millimetri di profondità
• Peso: 388 grammi

Descrizione articolo

Riassunto

This book will serve as a reference book for graduate students and researchers in probability theory or partial differential equations who want to learn more about the interplay of these two areas.

Contenuti

Stochastic Differential Equations.- Representations of Solutions.- Regularity of Solutions.- One-dimensional Diffusions.- Nondivergence form Operators.- Martingale Problems.- Divergence Form Operators.- The Malliavin Calculus.