Stochastic Equations in Infinite Dimensions: Edition 2
Apr 2014 · Encyclopedia of Mathematics and its Applications Book 152 · Cambridge University Press
Ebook
513
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About this ebook
Now in its second edition, this book gives a systematic and self-contained presentation of basic results on stochastic evolution equations in infinite dimensional, typically Hilbert and Banach, spaces. In the first part the authors give a self-contained exposition of the basic properties of probability measure on separable Banach and Hilbert spaces, as required later; they assume a reasonable background in probability theory and finite dimensional stochastic processes. The second part is devoted to the existence and uniqueness of solutions of a general stochastic evolution equation, and the third concerns the qualitative properties of those solutions. Appendices gather together background results from analysis that are otherwise hard to find under one roof. This revised edition includes two brand new chapters surveying recent developments in the area and an even more comprehensive bibliography, making this book an essential and up-to-date resource for all those working in stochastic differential equations.
About the author
Giuseppe Da Prato is Emeritus Professor at the Scuola Normale Superiore di Pisa. His research activity concerns: stochastic analysis, evolution equations both deterministic and stochastic, elliptic and parabolic equations with infinitely many variables, deterministic and stochastic control. On these subjects he has produced more than 350 papers in reviewed journals and eight books.
Jerzy Zabczyk is Professor in the Institute of Mathematics at the Polish Academy of Sciences. His research interests include stochastic processes, evolution equations, control theory and mathematical finance. He has published 87 papers in mathematical journals and seven books.
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