Overview

This book deals with the study of a class of stochastic differential systems having unbounded coefficients, both in finite and in infinite dimension. The attention is focused on the regularity properties of the solutions and on the smoothing effect of the corresponding transition semigroups in the space of bounded and uniformly continuous functions. The application is to the study of the associated Kolmogorov equations, the large time behaviour of the solutions and some stochastic optimal control problems. The techniques are from the theory of diffusion processes and from stochastic analysis, but also from the theory of partial differential equations with finitely and infinitely many variables.

Full Product Details

Author:   Sandra Cerrai
Publisher:   Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Imprint:   Springer-Verlag Berlin and Heidelberg GmbH & Co. K
Edition:   2001 ed.
Volume:   1762
Dimensions:   Width: 15.50cm , Height: 1.80cm , Length: 23.50cm
Weight:   1.070kg
ISBN:  

9783540421368

ISBN 10:   354042136
Pages:   332
Publication Date:   20 June 2001
Audience:   College/higher education ,  Professional and scholarly ,  Postgraduate, Research & Scholarly ,  Professional & Vocational
Format:   Paperback
Publisher's Status:   Active
Availability:   In Print  
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