Markov processes, Feller semigroups and evolution equations /:

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 b...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
1. Verfasser: Casteren, J. A. van
Format: Elektronisch E-Book
Sprache:English
Veröffentlicht: Singapore ; Hackensack, NJ : World Scientific, 2011.
Schriftenreihe:Series on concrete and applicable mathematics ; v. 12.
Schlagworte:
Online-Zugang:Volltext
Zusammenfassung: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.
Beschreibung:1 online resource (xviii, 805 pages)
Bibliographie:Includes bibliographical references (pages 759-788) and index.
ISBN:9789814322195
9814322199
ISSN:1793-1142 ;