Overview
Studying the fine properties of solutions to Stochastic (Partial) Differential Equations with reflection at a boundary, this book begins with a discussion of classical one-dimensional diffusions as the reflecting Brownian motion, devoting a chapter to Bessel processes, and moves on to function-valued solutions to SPDEs. Inspired by the classical stochastic calculus for diffusions, which is unfortunately still unavailable in infinite dimensions, it uses integration by parts formulae on convex sets of paths in order to describe the behaviour of the solutions at the boundary and the contact set between the solution and the obstacle. The text may serve as an introduction to space-time white noise, SPDEs and monotone gradient systems. Numerous open research problems in both classical and new topics are proposed.
Full Product Details
Author: Lorenzo Zambotti
Publisher: Springer International Publishing AG
Imprint: Springer International Publishing AG
Edition: 1st ed. 2017
Volume: 2181
Dimensions:
Width: 15.50cm
, Height: 1.00cm
, Length: 23.50cm
Weight: 2.759kg
ISBN: 9783319520957
ISBN 10: 3319520954
Pages: 162
Publication Date: 28 February 2017
Audience:
Professional and scholarly
,
Professional & Vocational
Format: Paperback
Publisher's Status: Active
Availability: Manufactured on demand
We will order this item for you from a manufactured on demand supplier.
Reviews
This book is an excellent, rigorous monograph on stochastic partial differential equations with reflections at a boundary. ... Engineers who struggle with numerical solutions of heat equations and Fokker-Plank equations in phase lock theory in white and colored noise will find this book useful. The author is a leading contributor to this field and has noted several open problems (Nirode C. Mohanty, zbMATH 1386.60002, 2018)
This book is an excellent, rigorous monograph on stochastic partial differential equations with reflections at a boundary. ... Engineers who struggle with numerical solutions of heat equations and Fokker-Plank equations in phase lock theory in white and colored noise will find this book useful. The author is a leading contributor to this field and has noted several open problems (Nirode C. Mohanty, zbMATH 1386.60002, 2018) I found the book very well written and informative, with something interesting to be found on every page. ... The exercises throughout the text and the list of open problems at the end of each chapter make the book suitable for a special topics graduate course. (Sergey V. Lototsky, Mathematical Reviews, December, 2017)
“This book is an excellent, rigorous monograph on stochastic partial differential equations with reflections at a boundary. … Engineers who struggle with numerical solutions of heat equations and Fokker-Plank equations in phase lock theory in white and colored noise will find this book useful. The author is a leading contributor to this field and has noted several open problems” (Nirode C. Mohanty, zbMATH 1386.60002, 2018) “I found the book very well written and informative, with something interesting to be found on every page. ... The exercises throughout the text and the list of open problems at the end of each chapter make the book suitable for a special topics graduate course.” (Sergey V. Lototsky, Mathematical Reviews, December, 2017)
