Markov processes, Feller semigroups and evolution equations

著者

• Casteren, J. A. van

書誌事項

Markov processes, Feller semigroups and evolution equations

Jan A van Casteren

（Series on concrete and applicable mathematics, v. 12）

World Scientific, c2011

注記

Includes bibliographical references and index

内容説明・目次

内容説明

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.

目次

• Introduction: Introduction: Stochastic Differential Equations
• Strong Markov Processes: Strong Markov Processes on Polish Spaces
• Strong Markov Processes: Proof on Main Results
• Space-Time Operators and Miscellaneous Topics
• Backward Stochastic Differential Equations: Feynman-Kac Formulas, Backward Stochastic Differential Equations and Markov Processes
• Viscosity Solutions, Backward Stochastic Differential Equations and Markov Processes
• The Hamilton-Jacobi-Bellman Equation and the Stochastic Noether Theorem
• Long Time Behavior: On Non-Stationary Markov Processes and Dunford Projections
• Coupling Methods and Sobolev Type Inequalities
• Invariant Measure.

「Nielsen BookData」 より

詳細情報

• NII書誌ID(NCID): BB04241509
• ISBN:
  • 9789814322188
• 出版国コード: us
• タイトル言語コード: eng
• 本文言語コード: eng
• 出版地: New Jersey
• ページ数/冊数: xviii, 805 p.
• 大きさ: 24 cm
• 分類:
  • DC22 : 519.233
• 件名:
  • LCSH : Markov processes
  • LCSH : Evolution equations
• 親書誌ID:
  • BA52666895