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Stochastic Partial Differential Equations by Pardoux Étienne (32 results)
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Stochastic Partial Differential Equations: An Introduction (SpringerBriefs in Mathematics)
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Stochastic Differential Equations, Backward Sdes, Partial Differential Equations
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Stochastic Differential Equations, Backward SDEs, Partial Differential Equations (Stochastic Modelling and Applied Probability, 69)
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Stochastic Partial Differential Equations : An Introduction
Published by Springer International Publishing, 2021
ISBN 10: 3030890023 ISBN 13: 9783030890025
Language: English
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Add to basketTaschenbuch. Condition: Neu. Druck auf Anfrage Neuware - Printed after ordering - This book gives a concise introduction to the classical theory of stochastic partial differential equations (SPDEs). It begins by describing the classes of equations which are studied later in the book, together with a list of motivating examples of SPDEs which are used in physics, population dynamics, neurophysiology, finance and signal processing. The central part of the book studies SPDEs as infinite-dimensional SDEs, based on the variational approach to PDEs. This extends both the classical Itô formulation and the martingale problem approach due to Stroock and Varadhan. The final chapter considers the solution of a space-time white noise-driven SPDE as a real-valued function of time and (one-dimensional) space. The results of J. Walsh's St Flour notes on the existence, uniqueness and Hölder regularity of the solution are presented. In addition, conditions are given under which the solution remains nonnegative, and the Malliavin calculus is applied. Lastly, reflected SPDEs and their connection with super Brownian motion are considered.At a time when new sophisticated branches of the subject are being developed, this book will be a welcome reference on classical SPDEs for newcomers to the theory.
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£ 81.89
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Add to basketCondition: New. 1st ed. 2021 edition NO-PA16APR2015-KAP.
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Stochastic Differential Equations, Backward SDEs, Partial Differential Equations (Stochastic Modelling and Applied Probability 69)
Seller: Carpe Diem Fine Books, ABAA, Monterey, CA, U.S.A.
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Add to basketHardcover. 1st. Octavo; xvii, 667pp. First Edition in publisher's laminated boards. Fine unread copy.
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Stochastic Differential Equations, Backward SDEs, Partial Differential Equations
Published by Springer International Publishing AG, CH, 2014
ISBN 10: 3319057138 ISBN 13: 9783319057132
Language: English
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Add to basketHardback. Condition: New. This research monograph presents results to researchers in stochastic calculus, forward and backward stochastic differential equations, connections between diffusion processes and second order partial differential equations (PDEs), and financial mathematics. It pays special attention to the relations between SDEs/BSDEs and second order PDEs under minimal regularity assumptions, and also extends those results to equations with multivalued coefficients. The authors present in particular the theory of reflected SDEs in the above mentioned framework and include exercises at the end of each chapter.Stochastic calculus and stochastic differential equations (SDEs) were first introduced by K. Itô in the 1940s, in order to construct the path of diffusion processes (which are continuous time Markov processes with continuous trajectories taking their values in a finite dimensional vector space or manifold), which had been studied from a more analytic point of view by Kolmogorov in the 1930s. Since then, this topic has become an important subject of Mathematics and Applied Mathematics, because of its mathematical richness and its importance for applications in many areas of Physics, Biology, Economics and Finance, where random processes play an increasingly important role. One important aspect is the connection between diffusion processes and linear partial differential equations of second order, which is in particular the basis for Monte Carlo numerical methods for linear PDEs. Since the pioneering work of Peng and Pardoux in the early 1990s, a new type of SDEs called backward stochastic differential equations (BSDEs) has emerged. The two main reasons why this new class of equations is important are the connection between BSDEs and semilinear PDEs, and the fact that BSDEs constitute a natural generalization of the famous Black and Scholes model from Mathematical Finance, and thus offer a natural mathematical framework for the formulation of many new models in Finance.
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Stochastic Differential Equations, Backward SDEs, Partial Differential Equations
Published by Springer International Publishing AG, CH, 2014
ISBN 10: 3319057138 ISBN 13: 9783319057132
Language: English
Seller: Rarewaves.com USA, London, LONDO, United Kingdom
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Add to basketHardback. Condition: New. This research monograph presents results to researchers in stochastic calculus, forward and backward stochastic differential equations, connections between diffusion processes and second order partial differential equations (PDEs), and financial mathematics. It pays special attention to the relations between SDEs/BSDEs and second order PDEs under minimal regularity assumptions, and also extends those results to equations with multivalued coefficients. The authors present in particular the theory of reflected SDEs in the above mentioned framework and include exercises at the end of each chapter.Stochastic calculus and stochastic differential equations (SDEs) were first introduced by K. Itô in the 1940s, in order to construct the path of diffusion processes (which are continuous time Markov processes with continuous trajectories taking their values in a finite dimensional vector space or manifold), which had been studied from a more analytic point of view by Kolmogorov in the 1930s. Since then, this topic has become an important subject of Mathematics and Applied Mathematics, because of its mathematical richness and its importance for applications in many areas of Physics, Biology, Economics and Finance, where random processes play an increasingly important role. One important aspect is the connection between diffusion processes and linear partial differential equations of second order, which is in particular the basis for Monte Carlo numerical methods for linear PDEs. Since the pioneering work of Peng and Pardoux in the early 1990s, a new type of SDEs called backward stochastic differential equations (BSDEs) has emerged. The two main reasons why this new class of equations is important are the connection between BSDEs and semilinear PDEs, and the fact that BSDEs constitute a natural generalization of the famous Black and Scholes model from Mathematical Finance, and thus offer a natural mathematical framework for the formulation of many new models in Finance.
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Stochastic Differential Equations, Backward SDEs, Partial Differential Equations
Published by Springer International Publishing, 2016
ISBN 10: 3319347756 ISBN 13: 9783319347752
Language: English
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£ 129.41
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Condition: New. pp. 688 52:B&W 6.14 x 9.21in or 234 x 156mm (Royal 8vo) Case Laminate on White w/Gloss Lam.
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Stochastic Differential Equations, Backward SDEs, Partial Differential Equations
Published by Springer International Publishing, 2014
ISBN 10: 3319057138 ISBN 13: 9783319057132
Language: English
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Stochastic Differential Equations, Backward Sdes, Partial Differential Equations
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Hardcover. Condition: Brand New. 2014 edition. 730 pages. 9.50x6.50x1.75 inches. In Stock.
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Stochastic Partial Differential Equations
Published by Springer International Publishing Okt 2021, 2021
ISBN 10: 3030890023 ISBN 13: 9783030890025
Language: English
Seller: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Germany
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Add to basketTaschenbuch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -This book gives a concise introduction to the classical theory of stochastic partial differential equations (SPDEs). It begins by describing the classes of equations which are studied later in the book, together with a list of motivating examples of SPDEs which are used in physics, population dynamics, neurophysiology, finance and signal processing. The central part of the book studies SPDEs as infinite-dimensional SDEs, based on the variational approach to PDEs. This extends both the classical Itô formulation and the martingale problem approach due to Stroock and Varadhan. The final chapter considers the solution of a space-time white noise-driven SPDE as a real-valued function of time and (one-dimensional) space. The results of J. Walsh's St Flour notes on the existence, uniqueness and Hölder regularity of the solution are presented. In addition, conditions are given under which the solution remains nonnegative, and the Malliavin calculus is applied. Lastly, reflected SPDEs and their connection with super Brownian motion are considered.At a time when new sophisticated branches of the subject are being developed, this book will be a welcome reference on classical SPDEs for newcomers to the theory. 84 pp. Englisch.
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Stochastic Partial Differential Equations
Published by Springer, Berlin|Springer International Publishing|Springer, 2021
ISBN 10: 3030890023 ISBN 13: 9783030890025
Language: English
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Add to basketKartoniert / Broschiert. Condition: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. This book gives a concise introduction to the classical theory of stochastic partial differential equations (SPDEs).This book gives a concise introduction to the classical theory of stochastic partial differential equations (SPDEs). It begins by desc.
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Stochastic Partial Differential Equations
Published by Springer International Publishing, Springer International Publishing Okt 2021, 2021
ISBN 10: 3030890023 ISBN 13: 9783030890025
Language: English
Seller: buchversandmimpf2000, Emtmannsberg, BAYE, Germany
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Add to basketTaschenbuch. Condition: Neu. This item is printed on demand - Print on Demand Titel. Neuware -This book gives a concise introduction to the classical theory of stochastic partial differential equations (SPDEs). It begins by describing the classes of equations which are studied later in the book, together with a list of motivating examples of SPDEs which are used in physics, population dynamics, neurophysiology, finance and signal processing. The central part of the book studies SPDEs as infinite-dimensional SDEs, based on the variational approach to PDEs. This extends both the classical Itô formulation and the martingale problem approach due to Stroock and Varadhan. The final chapter considers the solution of a space-time white noise-driven SPDE as a real-valued function of time and (one-dimensional) space. The results of J. Walsh's St Flour notes on the existence, uniqueness and Hölder regularity of the solution are presented. In addition, conditions are given under which the solution remains nonnegative, and the Malliavin calculus is applied. Lastly, reflected SPDEs and their connection with super Brownian motion are considered.At a time when new sophisticated branches of the subject are being developed, this book will be a welcome reference on classical SPDEs for newcomers to the theory.Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 84 pp. Englisch.
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