Bibliothèque de L'IMIST/CNRST

Includes bibliographical references (pages 759-788) and index.

Strong Markov processes on Polish spaces -- Strong Markov processes : proof of main results -- Space-time operators and miscellaneous topics -- 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 -- On non-stationary Markov processes and Dunford projections -- Coupling methods and Sobolev type inequalities -- Invariant measure.

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.