STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS WITH LEVY NOISE by S. Peszat, Jerzy Zabczyk ( 9780521879897 )

Item Details

Title:

STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS WITH LEVY NOISE
AN EVOLUTION EQUATION APPROACH

By:

S. Peszat, Jerzy Zabczyk

Format:

Hardback

List price:

£137.00

Our price:

£119.88

Discount:

12.5% off

You save:

£17.12

ISBN 10:

0521879892

ISBN 13:

9780521879897

Availability:

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Stock:

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Publisher:

CAMBRIDGE UNIVERSITY PRESS

Pub. date:

11 October, 2007

Series:

Encyclopedia of Mathematics and Its Applications No. 113

Pages:

432

Description:

Comprehensive monograph by two leading international experts; includes applications to statistical and fluid mechanics and to finance.

Synopsis:

Recent years have seen an explosion of interest in stochastic partial differential equations where the driving noise is discontinuous. In this comprehensive monograph, two leading experts detail the evolution equation approach to their solution. Most of the results appeared here for the first time in book form. The authors start with a detailed analysis of Levy processes in infinite dimensions and their reproducing kernel Hilbert spaces; cylindrical Levy processes are constructed in terms of Poisson random measures; stochastic integrals are introduced. Stochastic parabolic and hyperbolic equations on domains of arbitrary dimensions are studied, and applications to statistical and fluid mechanics and to finance are also investigated. Ideal for researchers and graduate students in stochastic processes and partial differential equations, this self-contained text will also interest those working on stochastic modeling in finance, statistical physics and environmental science.

Illustrations:

40 worked examples

Publication:

Imprint:

Cambridge University Press

Returns:

Returnable

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