Kolmogorov Operators In Spaces Of Continuous Functions And Equations Fpr Measures
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| 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 | : 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 | : 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 | : 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 | : Haim Brezis |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 600 |
| Release | : 2010-11-02 |
| Genre | : Mathematics |
| ISBN | : 0387709142 |
This textbook is a completely revised, updated, and expanded English edition of the important Analyse fonctionnelle (1983). In addition, it contains a wealth of problems and exercises (with solutions) to guide the reader. Uniquely, this book presents in a coherent, concise and unified way the main results from functional analysis together with the main results from the theory of partial differential equations (PDEs). Although there are many books on functional analysis and many on PDEs, this is the first to cover both of these closely connected topics. Since the French book was first published, it has been translated into Spanish, Italian, Japanese, Korean, Romanian, Greek and Chinese. The English edition makes a welcome addition to this list.
| Author | : Vladimir I. Bogachev |
| Publisher | : American Mathematical Soc. |
| Total Pages | : 495 |
| Release | : 2015-12-17 |
| Genre | : Mathematics |
| ISBN | : 1470425580 |
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 | : 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.
| Author | : Terence Tao |
| Publisher | : American Mathematical Soc. |
| Total Pages | : 206 |
| Release | : 2021-09-03 |
| Genre | : Education |
| ISBN | : 1470466406 |
This is a graduate text introducing the fundamentals of measure theory and integration theory, which is the foundation of modern real analysis. The text focuses first on the concrete setting of Lebesgue measure and the Lebesgue integral (which in turn is motivated by the more classical concepts of Jordan measure and the Riemann integral), before moving on to abstract measure and integration theory, including the standard convergence theorems, Fubini's theorem, and the Carathéodory extension theorem. Classical differentiation theorems, such as the Lebesgue and Rademacher differentiation theorems, are also covered, as are connections with probability theory. The material is intended to cover a quarter or semester's worth of material for a first graduate course in real analysis. There is an emphasis in the text on tying together the abstract and the concrete sides of the subject, using the latter to illustrate and motivate the former. The central role of key principles (such as Littlewood's three principles) as providing guiding intuition to the subject is also emphasized. There are a large number of exercises throughout that develop key aspects of the theory, and are thus an integral component of the text. As a supplementary section, a discussion of general problem-solving strategies in analysis is also given. The last three sections discuss optional topics related to the main matter of the book.
| 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.
