Markov Processes, Feller Semigroups and Evolution Equations (Series on Concrete and Applicable Mathematics): 12 - Softcover

Casteren, Jan Van

Softcover

ISBN 10: 9814322180 ISBN 13: 9789814322188

Publisher: World Scientific Publishing Company, 2010

Synopsis

The book provides a systemic treatment of time-dependent strong Markov processes with values in a Polish space. It describes its generators and the link with stochastic differential equations in infinite dimensions. In a unifying way, where the square gradient operator is employed, new results for backward stochastic differential equations and long-time behavior are discussed in depth. The book also establishes a link between propagators or evolution families with the Feller property and time-inhomogeneous Markov processes. This mathematical material finds its applications in several branches of the scientific world, among which are mathematical physics, hedging models in financial mathematics, and population models.

About this title

From the Back Cover

The book provides a systemic treatment of time-dependent strong Markov processes with values in a Polish space. It describes its generators and the link with stochastic differential equations in infinite dimensions. In a unifying way, where the square gradient operator is employed, new results for backward stochastic differential equations and long-time behavior are discussed in depth. This mathematical material finds its applications in several branches of the scientific world among which mathematical physics, hedging models in financial mathematics, population models.

Edition details

• Publisher: World Scientific Publishing Company
• Publication date: 2010
• Language: English
• ISBN 10: 9814322180
• ISBN 13: 9789814322188
• Binding: Paperback
• Number of pages: 824