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

ISBN: 0521879892

Category: Business

Tag: Economics and Finances


Posted on 2009-06-14. By anonymous.

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0521879892

Stochastic Partial Differential Equations with Lévy Noise: An Evolution Equation Approach (Encyclopedia of Mathematics and its Applications): S. Peszat, J. Zabczyk
Cambridge University Press Number Of Pages: 438 Publication Date: 2007-11-05 ISBN-10 / ASIN: 0521879892 ISBN-13 / EAN: 9780521879897 | ISBN: 0521879892 | 2007-11-05 ISBN-10 / ASIN: 0521879892 ISBN-13 / EAN: 9780521879897 | PDF (OCR) | 438 Publication Date: 2007-11-05 ISBN-10 / ASIN: 0521879892 ISBN-13 / EAN: 9780521879897 pages | 40.51 Mb


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 appear here for the first time in book form, and the volume is sure to stimulate further research in this important field. 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.

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