Stochastic differential equations : theory and applications

Title:

Series:

Interdisciplinary mathematical sciences ; 2

Publication Information:

Singapore : World Scientific, 2007

Physical Description:

xxii, 393 p. : port. ; 26 cm.

ISBN:

9789812706621

Subject Term:

Stochastic differential equations

Added Author:

Baxendale, Peter H.

Lototsky, Sergey V.

Available:*

Library	Item Barcode	Call Number	Material Type	Item Category 1	Status
Searching... PSZ JB	30000010193291	QA274.23 S86 2007	Open Access Book	Book	Searching... Unknown

The first paper in the volume, Stochastic Evolution Equations by N V Krylov and B L Rozovskii, was originally published in Russian in 1979. After more than a quarter-century, this paper remains a standard reference in the field of stochastic partial differential equations (SPDEs) and continues to attract attention of mathematicians of all generations, because, together with a short but thorough introduction to SPDEs, it presents a number of optimal and essentially non-improvable results about solvability for a large class of both linear and non-linear equations.

N. V. Krylov and B. L. RozovskiiD. Blomker and J. DuanL. Borcea and G. Papanicolaou and C. TsogkaA. de Bouard and A. DebusscheZ. Brzezniak and L. DebbiA. Cadenillas and J. Cvitanic and F. ZapateroP. Chigansky and R. LiptserD. Crisan and S. GhazaliL. Decreusefond and D. NualartF. Flandoli and M. RomitoI. Gyongy and A. MilletN. V. KrylovYu. A. KutoyantsR. Mikulevicius and H. PragarauskasG. Da Prato

Preface	p. vii
Boris Rozovskii	p. ix
Publications of B. L. Rozovskii	p. xi
1 Stochastic Evolution Equations	p. 1
2 Predictability of the Burgers Dynamics Under Model Uncertainty	p. 71
3 Asymptotics for the Space-Time Wigner Transform with Applications to Imaging	p. 91
4 The Korteweg-de Vries Equation with Multiplicative Homogeneous Noise	p. 113
5 On Stochastic Burgers Equation Driven by a Fractional Laplacian and Space-Time White Noise	p. 135
6 Stochastic Control Methods for the Problem of Optimal Compensation of Executives	p. 169
7 The Freidlin-Wentzell LDP with Rapidly Growing Coefficients	p. 197
8 On the Convergence Rates of a General Class of Weak Approximations of SDEs	p. 221
9 Flow Properties of Differential Equations Driven by Fractional Brownian Motion	p. 249
10 Regularity of Transition Semigroups Associated to a 3D Stochastic Navier-Stokes Equation	p. 263
11 Rate of Convergence of Implicit Approximations for Stochastic Evolution Equations	p. 281
12 Maximum Principle for SPDEs and Its Applications	p. 311
13 On Delay Estimation and Testing for Diffusion Type Processes	p. 339
14 On Cauchy-Dirichlet Problem for Linear Integro-Differential Equation in Weighted Sobolev Spaces	p. 357
15 Strict Solutions of Kolmogorov Equations in Hilbert Spaces and Applications	p. 375
Author Index	p. 391
Subject Index	p. 393

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