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Stochastic Partial Differential Equations with Lévy Noise: An Evolution Equation Approach by S. Peszat, J. Zabczyk

Stochastic Partial Differential Equations with Lévy Noise: An Evolution Equation Approach

by S. Peszat , J. Zabczyk
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Book cover type: Hardcover
  • ISBN13: 9780521879897
  • Binding: Hardcover
  • Subject: N/A
  • Publisher: Cambridge University Press
  • Publisher Imprint: Cambridge University Press
  • Publication Date:
  • Pages: 432
  • Original Price: USD 186.0
  • Language: English
  • Edition: 1
  • Item Weight: 781 grams
  • BISAC Subject(s): Differential Equations / General

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.

Peszat, S.: - Szymon Peszat is an Associate Professor in the Institute of Mathematics at the Polish Academy of Sciences.

Zabczyk, J.: - 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).

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