Kolmogorov Operators In Spaces Of Continuous Functions And Equations Fpr Measures
Download Kolmogorov Operators In Spaces Of Continuous Functions And Equations Fpr Measures full books in PDF, epub, and Kindle. Read online free Kolmogorov Operators In Spaces Of Continuous Functions And Equations Fpr Measures ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Author | : Luigi Manca |
Publisher | : Edizioni della Normale |
Total Pages | : 0 |
Release | : 2008-12-29 |
Genre | : Mathematics |
ISBN | : 9788876423369 |
The book is devoted to study the relationships between Stochastic Partial Differential Equations and the associated Kolmogorov operator in spaces of continuous functions. In the first part, the theory of a weak convergence of functions is developed in order to give general results about Markov semigroups and their generator. In the second part, concrete models of Markov semigroups deriving from Stochastic PDEs are studied. In particular, Ornstein-Uhlenbeck, reaction-diffusion and Burgers equations have been considered. For each case the transition semigroup and its infinitesimal generator have been investigated in a suitable space of continuous functions. The main results show that the set of exponential functions provides a core for the Kolmogorov operator. As a consequence, the uniqueness of the Kolmogorov equation for measures has been proved.
Author | : Luigi Manca |
Publisher | : |
Total Pages | : |
Release | : 2009 |
Genre | : |
ISBN | : |
Author | : Giuseppe Da Prato |
Publisher | : Birkhäuser |
Total Pages | : 188 |
Release | : 2012-12-06 |
Genre | : Mathematics |
ISBN | : 3034879091 |
Kolmogorov Equations for Stochastic PDEs gives an introduction to stochastic partial differential equations, such as reaction-diffusion, Burgers and 2D Navier-Stokes equations, perturbed by noise. It studies several properties of corresponding transition semigroups, such as Feller and strong Feller properties, irreducibility, existence and uniqueness of invariant measures. In addition, the transition semigroups are interpreted as generalized solutions of Kologorov equations.
Author | : N.V. Krylov |
Publisher | : Springer |
Total Pages | : 248 |
Release | : 2006-11-15 |
Genre | : Mathematics |
ISBN | : 3540481613 |
Kolmogorov equations are second order parabolic equations with a finite or an infinite number of variables. They are deeply connected with stochastic differential equations in finite or infinite dimensional spaces. They arise in many fields as Mathematical Physics, Chemistry and Mathematical Finance. These equations can be studied both by probabilistic and by analytic methods, using such tools as Gaussian measures, Dirichlet Forms, and stochastic calculus. The following courses have been delivered: N.V. Krylov presented Kolmogorov equations coming from finite-dimensional equations, giving existence, uniqueness and regularity results. M. Röckner has presented an approach to Kolmogorov equations in infinite dimensions, based on an LP-analysis of the corresponding diffusion operators with respect to suitably chosen measures. J. Zabczyk started from classical results of L. Gross, on the heat equation in infinite dimension, and discussed some recent results.
Author | : Eric Charpentier |
Publisher | : Springer Science & Business Media |
Total Pages | : 326 |
Release | : 2007-09-13 |
Genre | : Mathematics |
ISBN | : 3540363513 |
In this book, several world experts present (one part of) the mathematical heritage of Kolmogorov. Each chapter treats one of his research themes or a subject invented as a consequence of his discoveries. The authors present his contributions, his methods, the perspectives he opened to us, and the way in which this research has evolved up to now. Coverage also includes examples of recent applications and a presentation of the modern prospects.
Author | : Robert Dalang |
Publisher | : Springer Science & Business Media |
Total Pages | : 487 |
Release | : 2011-03-16 |
Genre | : Mathematics |
ISBN | : 3034800215 |
This volume contains refereed research or review papers presented at the 6th Seminar on Stochastic Processes, Random Fields and Applications, which took place at the Centro Stefano Franscini (Monte Verità) in Ascona, Switzerland, in May 2008. The seminar focused mainly on stochastic partial differential equations, especially large deviations and control problems, on infinite dimensional analysis, particle systems and financial engineering, especially energy markets and climate models. The book will be a valuable resource for researchers in stochastic analysis and professionals interested in stochastic methods in finance.
Author | : Vladimir I. Bogachev |
Publisher | : American Mathematical Society |
Total Pages | : 495 |
Release | : 2022-02-10 |
Genre | : Mathematics |
ISBN | : 1470470098 |
This book gives an exposition of the principal concepts and results related to second order elliptic and parabolic equations for measures, the main examples of which are Fokker–Planck–Kolmogorov equations for stationary and transition probabilities of diffusion processes. Existence and uniqueness of solutions are studied along with existence and Sobolev regularity of their densities and upper and lower bounds for the latter. The target readership includes mathematicians and physicists whose research is related to diffusion processes as well as elliptic and parabolic equations.
Author | : Luca Lorenzi |
Publisher | : CRC Press |
Total Pages | : 572 |
Release | : 2016-10-04 |
Genre | : Mathematics |
ISBN | : 1315355620 |
The second edition of this book has a new title that more accurately reflects the table of contents. Over the past few years, many new results have been proven in the field of partial differential equations. This edition takes those new results into account, in particular the study of nonautonomous operators with unbounded coefficients, which has received great attention. Additionally, this edition is the first to use a unified approach to contain the new results in a singular place.
Author | : Stéphane Menozzi |
Publisher | : Springer Nature |
Total Pages | : 354 |
Release | : |
Genre | : |
ISBN | : 9819702259 |
Author | : Giorgio Fabbri |
Publisher | : Springer |
Total Pages | : 928 |
Release | : 2017-06-22 |
Genre | : Mathematics |
ISBN | : 3319530674 |
Providing an introduction to stochastic optimal control in infinite dimension, this book gives a complete account of the theory of second-order HJB equations in infinite-dimensional Hilbert spaces, focusing on its applicability to associated stochastic optimal control problems. It features a general introduction to optimal stochastic control, including basic results (e.g. the dynamic programming principle) with proofs, and provides examples of applications. A complete and up-to-date exposition of the existing theory of viscosity solutions and regular solutions of second-order HJB equations in Hilbert spaces is given, together with an extensive survey of other methods, with a full bibliography. In particular, Chapter 6, written by M. Fuhrman and G. Tessitore, surveys the theory of regular solutions of HJB equations arising in infinite-dimensional stochastic control, via BSDEs. The book is of interest to both pure and applied researchers working in the control theory of stochastic PDEs, and in PDEs in infinite dimension. Readers from other fields who want to learn the basic theory will also find it useful. The prerequisites are: standard functional analysis, the theory of semigroups of operators and its use in the study of PDEs, some knowledge of the dynamic programming approach to stochastic optimal control problems in finite dimension, and the basics of stochastic analysis and stochastic equations in infinite-dimensional spaces.