Markov processes, Feller semigroups and evolution equations /
Collection : Series on concrete and applicable mathematics, 1793-1142 ; . v. 12 Publié par : World Scientific, (Singapore ; | Hackensack, NJ :) Détails physiques : 1 online resource (xviii, 805 pages). ISBN :9789814322195; 9814322199.-
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Type de document | Site actuel | Cote | Statut | Date de retour prévue | Code à barres | Réservations |
---|---|---|---|---|---|---|
Livre | La bibliothèque des Sciences Exactes et Naturelles | 519.233 CAS (Parcourir l'étagère) | Disponible | 0000000024036 |
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.
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