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Stochastic Partial Differential Equations with Lévy Noise on Hardback by S. Peszat
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Stochastic Partial Differential Equations with Lévy Noise

An Evolution Equation Approach
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Description

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 Lévy processes in infinite dimensions and their reproducing kernel Hilbert spaces; cylindrical Lévy 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.

Author Biography:

Szymon Peszat is an Associate Professor in the Institute of Mathematics at the Polish Academy of Sciences. Jerzy Zabczyk is a Professor in the Institute of Mathematics at the Polish Academy of Sciences. He is the author (with G. Da Prato) of three earlier books for Cambridge University Press: Stochastic Equations in Infinite Dimensions (1992), Ergodicity for Infinite Dimensional Systems (1996) and Second Order Partial Differential Equations (2002).
Release date Australia
October 11th, 2007
Audience
  • Professional & Vocational
Illustrations
Worked examples or Exercises
Pages
432
Dimensions
165x235x29
ISBN-13
9780521879897
Product ID
2214643

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