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Stochastic equations in infinite dimensions

Author: Giuseppe Da Prato; Jerzy Zabczyk
Publisher: New York : Cambridge University Press, ©1992.
Series: Encyclopedia of mathematics and its applications, 45.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:

The aim of this book is to give a systematic and self-contained presentation of basic results on stochastic evolution equations in infinite dimensional spaces.

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Document Type: Book
All Authors / Contributors: Giuseppe Da Prato; Jerzy Zabczyk
ISBN: 0521385296 9780521385299
OCLC Number: 299441993
Description: xviii, 454 p.
Contents: Part I. Foundations: 1. Random variables; 2. Probability measures; 3. Stochastic processes; 4. The stochastic integral; Part II. Existence and Uniqueness: 5. Linear equations with additive noise; 6. Linear equations with multiplicative noise; 7. Existence and uniqueness for nonlinear equations; 8. Martingale solutions; Part III. Properties of Solutions: 9. Markov properties and Kolmogorov equations; 10. Absolute continuity and Girsanov's theorem; 11. Large time behaviour of solutions; 12. Small noise asymptotic.
Series Title: Encyclopedia of mathematics and its applications, 45.
Responsibility: Giuseppe Da Prato, Jerzy Zabczyk.
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"...very fine...provides the first comprehensive synthesis of the semigroup approach to SPDE....The exposition is excellent and readable throughout, and should help bring the theory to a wider Read more...

 
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Primary Entity

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