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Author: Robert C. Dalang
Publisher: Springer Science & Business Media
Published: 2009
Total Pages: 230
ISBN-13: 3540859934
DOWNLOAD EBOOKThis title contains lectures that offer an introduction to modern topics in stochastic partial differential equations and bring together experts whose research is centered on the interface between Gaussian analysis, stochastic analysis, and stochastic PDEs.
Author: Robert C. Dalang
Publisher: American Mathematical Soc.
Published: 2009-04-10
Total Pages: 83
ISBN-13: 0821842889
DOWNLOAD EBOOKThe authors study the sample path regularity of the solution of a stochastic wave equation in spatial dimension $d=3$. The driving noise is white in time and with a spatially homogeneous covariance defined as a product of a Riesz kernel and a smooth function. The authors prove that at any fixed time, a.s., the sample paths in the spatial variable belong to certain fractional Sobolev spaces. In addition, for any fixed $x\in\mathbb{R}^3$, the sample paths in time are Holder continuous functions. Further, the authors obtain joint Holder continuity in the time and space variables. Their results rely on a detailed analysis of properties of the stochastic integral used in the rigourous formulation of the s.p.d.e., as introduced by Dalang and Mueller (2003). Sharp results on one- and two-dimensional space and time increments of generalized Riesz potentials are a crucial ingredient in the analysis of the problem. For spatial covariances given by Riesz kernels, the authors show that the Holder exponents that they obtain are optimal.
Author: Patricia Alonso Ruiz
Publisher:
Published: 2020
Total Pages: 573
ISBN-13: 9789811215537
DOWNLOAD EBOOK"In the 50 years since Mandelbrot identified the fractality of coastlines, mathematicians and physicists have developed a rich and beautiful theory describing the interplay between analytic, geometric and probabilistic aspects of the mathematics of fractals. Using classical and abstract analytic tools developed by Cantor, Hausdorff, and Sierpinski, they have sought to address fundamental questions: How can we measure the size of a fractal set? How do waves and heat travel on irregular structures? How are analysis, geometry and stochastic processes related in the absence of Euclidean smooth structure? What new physical phenomena arise in the fractal-like settings that are ubiquitous in nature? This book introduces background and recent progress on these problems, from both established leaders in the field and early career researchers. The book gives a broad introduction to several foundational techniques in fractal mathematics, while also introducing some specific new and significant results of interest to experts, such as that waves have infinite propagation speed on fractals. It contains sufficient introductory material that it can be read by new researchers or researchers from other areas who want to learn about fractal methods and results"--Publisher's website.
Author: S. Peszat
Publisher: Cambridge University Press
Published: 2007-10-11
Total Pages: 45
ISBN-13: 0521879892
DOWNLOAD EBOOKComprehensive monograph by two leading international experts; includes applications to statistical and fluid mechanics and to finance.
Author: Da Prato Guiseppe
Publisher:
Published: 2013-11-21
Total Pages:
ISBN-13: 9781306148061
DOWNLOAD EBOOKThe aim of this book is to give a systematic and self-contained presentation of basic results on stochastic evolution equations in infinite dimensional, typically Hilbert and Banach, spaces. These are a generalization of stochastic differential equations as introduced by Ito and Gikham that occur, for instance, when describing random phenomena that crop up in science and engineering, as well as in the study of differential equations. The book is divided into three parts. In the first the authors give a self-contained exposition of the basic properties of probability measure on separable Banach and Hilbert spaces, as required later; they assume a reasonable background in probability theory and finite dimensional stochastic processes. The second part is devoted to the existence and uniqueness of solutions of a general stochastic evolution equation, and the third concerns the qualitative properties of those solutions. Appendices gather together background results from analysis that are otherwise hard to find under one roof. The book ends with a comprehensive bibliography that will contribute to the book's value for all working in stochastic differential equations."
Author: Mircea Grigoriu
Publisher: Springer Science & Business Media
Published: 2002-09-24
Total Pages: 794
ISBN-13: 9780817642426
DOWNLOAD EBOOKChapters 6-9 present methods for solving problems defined by equations with deterministic and/or random coefficients and deterministic and/or stochastic inputs. The Monte Carlo simulation is used extensively throughout to clarify advanced theoretical concepts and provide solutions to a broad range of stochastic problems.".
Author: George Papanicolaou
Publisher: Springer Science & Business Media
Published: 2012-12-06
Total Pages: 322
ISBN-13: 1461387256
DOWNLOAD EBOOKThis IMA Volume in Mathematics and its Applications RANDOM MEDIA represents the proceedings of a workshop which was an integral part of the 1984-85 IMA program on STOCHASTIC DIFFERENTIAL EQUATIONS AND THEIR APPLICATIONS We are grateful to the Scientific Committee: Daniel Stroock (Chairman) \~ende 11 Fl emi ng Theodore Harris Pierre-Louis Lions Steven Orey George Papanicolaou for planning and implementing an exciting and stimulating year-long program. We especi ally thank George Papani col aOIJ for organi zi ng a workshop which produced fruitful interactions between mathematicians and scientists from both academia and industry. George R. Sell Hans I~ei nherger PREFACE During September 1985 a workshop on random media was held at the Institute for Mathematics and its Applications at the University of Minnesota. This was part of the program for the year on Probability and Stochastic Processes at IMA. The main objective of the workshop was to bring together researchers who work in a broad area including applications and mathematical methodology. The papers in this volume give an idea of what went on and they also represent a cross section of problems and methods that are currently of interest.
Author: G. B. Folland
Publisher:
Published: 1976
Total Pages: 349
ISBN-13: 9780691081779
DOWNLOAD EBOOKThe description for this book, Introduction to Partial Differential Equations. (MN-17), Volume 17, will be forthcoming. -- "Contemporary Physics"
Author: Luigi Accardi
Publisher: World Scientific
Published: 2017-08-29
Total Pages: 243
ISBN-13: 9813225475
DOWNLOAD EBOOKThis volume is to pique the interest of many researchers in the fields of infinite dimensional analysis and quantum probability. These fields have undergone increasingly significant developments and have found many new applications, in particular, to classical probability and to different branches of physics. These fields are rather wide and are of a strongly interdisciplinary nature. For such a purpose, we strove to bridge among these interdisciplinary fields in our Workshop on IDAQP and their Applications that was held at the Institute for Mathematical Sciences, National University of Singapore from 3-7 March 2014. Readers will find that this volume contains all the exciting contributions by well-known researchers in search of new directions in these fields.
Author: Pao-Liu Chow
Publisher: CRC Press
Published: 2014-12-10
Total Pages: 336
ISBN-13: 1466579552
DOWNLOAD EBOOKExplore Theory and Techniques to Solve Physical, Biological, and Financial Problems Since the first edition was published, there has been a surge of interest in stochastic partial differential equations (PDEs) driven by the Lévy type of noise. Stochastic Partial Differential Equations, Second Edition incorporates these recent developments and improves the presentation of material. New to the Second Edition Two sections on the Lévy type of stochastic integrals and the related stochastic differential equations in finite dimensions Discussions of Poisson random fields and related stochastic integrals, the solution of a stochastic heat equation with Poisson noise, and mild solutions to linear and nonlinear parabolic equations with Poisson noises Two sections on linear and semilinear wave equations driven by the Poisson type of noises Treatment of the Poisson stochastic integral in a Hilbert space and mild solutions of stochastic evolutions with Poisson noises Revised proofs and new theorems, such as explosive solutions of stochastic reaction diffusion equations Additional applications of stochastic PDEs to population biology and finance Updated section on parabolic equations and related elliptic problems in Gauss–Sobolev spaces The book covers basic theory as well as computational and analytical techniques to solve physical, biological, and financial problems. It first presents classical concrete problems before proceeding to a unified theory of stochastic evolution equations and describing applications, such as turbulence in fluid dynamics, a spatial population growth model in a random environment, and a stochastic model in bond market theory. The author also explores the connection of stochastic PDEs to infinite-dimensional stochastic analysis.
