Stochastic Partial Differential Equations with Lévy Noise
An Evolution Equation Approach (Encyclopedia of Mathematics and its Applications)
1 edition
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Word Count
109,500 words, Guess
Page Count
438 pages
Physical Format
Hardcover
Identifiers
- Internet Archivestochasticpartia0000pesz
- Internet Archivestochasticpartia00pesz
- Internet Archivestochasticpartia00pesz_667
- ISBN-100521879892
- ISBN-139780521879897
and 5 more
- Goodreads5693018
- Library of Congress Control Number2008295157
- OCLC Control Number144228601
- Better World Books9780521879897
- Open LibraryOL10438306M
Classifications
- LCCQA274.25 .P47 2007
- LCCQA274.25.P47 2007
Description
Recent years have seen an explosion of interest in stochastic partial differential equations where the driving noise is discontinuous. In this comprehensive monograph, two leading experts detail the evolution equation approach to their solution. Most of the results appeared here for the first time in book form. The authors start with a detailed analysis of Lévy processes in infinite dimensions and their reproducing kernel Hilbert spaces; cylindrical Lévy processes are constructed in terms of Poisson random measures; stochastic integrals are introduced. Stochastic parabolic and hyperbolic equations on domains of arbitrary dimensions are studied, and applications to statistical and fluid mechanics and to finance are also investigated. Ideal for researchers and graduate students in stochastic processes and partial differential equations, this self-contained text will also interest those working on stochastic modeling in finance, statistical physics and environmental science.
Subjects
Other Editions
- Stochastic Partial Differential Equations with Lévy Noise: An Evolution Equation Approach (Encyclopedia of Mathematics and its Applications)
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