Artículos relacionados a Analytic Theory of Itô-Stochastic Differential Equations...
Analytic Theory of Itô-Stochastic Differential Equations with Non-smooth Coefficients (SpringerBriefs in Probability and Mathematical Statistics) - Tapa blanda
Sinopsis
This book provides analytic tools to describe local and global behavior of solutions to Itô-stochastic differential equations with non-degenerate Sobolev diffusion coefficients and locally integrable drift. Regularity theory of partial differential equations is applied to construct such solutions and to obtain strong Feller properties, irreducibility, Krylov-type estimates, moment inequalities, various types of non-explosion criteria, and long time behavior, e.g., transience, recurrence, and convergence to stationarity.
The approach is based on the realization of the transition semigroup associated with the solution of a stochastic differential equation as a strongly continuous semigroup in the Lp-space with respect to a weight that plays the role of a sub-stationary or stationary density. This way we obtain in particular a rigorous functional analytic description of the generator of the solution of a stochastic differential equation and its full domain. The existence of such a weight is shown under broad assumptions on the coefficients. A remarkable fact is that although the weight may not be unique, many important results are independent of it.
Given such a weight and semigroup, one can construct and further analyze in detail a weak solution to the stochastic differential equation combining variational techniques, regularity theory for partial differential equations, potential, and generalized Dirichlet form theory.
Under classical-like or various other criteria for non-explosion we obtain as one of our main applications the existence of a pathwise unique and strong solution with an infinite lifetime. These results substantially supplement the classical case of locally Lipschitz or monotone coefficients.
We further treat other types of uniqueness and non-uniqueness questions, such as uniqueness and non-uniqueness of the mentioned weights and uniqueness in law, in a certain sense, of the solution.
"Sinopsis" puede pertenecer a otra edición de este libro.
Acerca del autor
Dr. Haesung Lee is working at Department of Mathematics and Computer Science, Korea Science Academy of KAIST.Professor Wilhelm Stannat is working at Institut für Mathematik, Technische Universität Berlin. Professor Gerald Trutnau is a full-professor at Department of Mathematical Sciences, Seoul National University.
De la contraportada
"Sobre este título" puede pertenecer a otra edición de este libro.
Comprar nuevo
Ver este artículo
EUR 29,44
EUR 5,17 gastos de envío desde Reino Unido a España
Destinos, gastos y plazos de envío
Resultados de la búsqueda para Analytic Theory of Itô-Stochastic Differential Equations...
Imagen de archivo
Analytic Theory of Itô-Stochastic Differential Equations with Non-smooth Coefficients (SpringerBriefs in Probability and Mathematical Statistics)
Librería: Ria Christie Collections, Uxbridge, Reino Unido
Calificación del vendedor: 5 de 5 estrellas
Condición: New. In. Nº de ref. del artículo: ria9789811938306_new
Cantidad disponible: Más de 20 disponibles
Imagen de archivo
Analytic Theory of It�-Stochastic Differential Equations with Non-smooth Coefficients
Librería: Chiron Media, Wallingford, Reino Unido
Calificación del vendedor: 4 de 5 estrellas
PF. Condición: New. Nº de ref. del artículo: 6666-IUK-9789811938306
Cantidad disponible: 10 disponibles
Imagen de archivo
Analytic Theory of Itô-Stochastic Differential Equations with Non-smooth Coefficients
Publicado por
Springer Nature Singapore, 2022
ISBN 10: 981193830X
ISBN 13: 9789811938306
Antiguo o usado
Tapa blanda
Librería: Buchpark, Trebbin, Alemania
Calificación del vendedor: 5 de 5 estrellas
Condición: Hervorragend. Zustand: Hervorragend | Sprache: Englisch | Produktart: Bücher. Nº de ref. del artículo: 40232340/1
Cantidad disponible: 3 disponibles
Imagen de archivo
Analytic Theory of Ità -Stochastic Differential Equations with Non-smooth Coefficients (SpringerBriefs in Probability and Mathematical Statistics)
Librería: Books From California, Simi Valley, CA, Estados Unidos de America
Calificación del vendedor: 5 de 5 estrellas
paperback. Condición: Very Good. Nº de ref. del artículo: mon0003814140
Cantidad disponible: 2 disponibles
Imagen de archivo
Analytic Theory of It?-Stochastic Differential Equations with Non-smooth Coefficients (SpringerBriefs in Probability and Mathematical Statistics)
Librería: Books Puddle, New York, NY, Estados Unidos de America
Calificación del vendedor: 4 de 5 estrellas
Condición: New. Nº de ref. del artículo: 26396049461
Cantidad disponible: 4 disponibles
Imagen de archivo
Analytic Theory of It?-Stochastic Differential Equations with Non-smooth Coefficients (SpringerBriefs in Probability and Mathematical Statistics)
Librería: Majestic Books, Hounslow, Reino Unido
Calificación del vendedor: 5 de 5 estrellas
Condición: New. Nº de ref. del artículo: 401376234
Cantidad disponible: 4 disponibles
Imagen de archivo
Analytic Theory of It?-Stochastic Differential Equations with Non-smooth Coefficients (SpringerBriefs in Probability and Mathematical Statistics)
Librería: Biblios, Frankfurt am main, HESSE, Alemania
Calificación del vendedor: 5 de 5 estrellas
Condición: New. Nº de ref. del artículo: 18396049471
Cantidad disponible: 4 disponibles
Imagen del vendedor
Analytic Theory of Itô-Stochastic Differential Equations with Non-smooth Coefficients
Publicado por
Springer Nature Singapore, Springer Nature Singapore Aug 2022, 2022
ISBN 10: 981193830X
ISBN 13: 9789811938306
Nuevo
Taschenbuch
Librería: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Alemania
Calificación del vendedor: 5 de 5 estrellas
Taschenbuch. Condición: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -This book provides analytic tools to describe local and global behavior of solutions to Itô-stochastic differential equations with non-degenerate Sobolev diffusion coefficients and locally integrable drift.Regularity theory of partial differential equations is applied to construct such solutions and to obtain strong Feller properties, irreducibility, Krylov-type estimates, moment inequalities, various types of non-explosion criteria, and long time behavior, e.g., transience, recurrence, and convergence to stationarity.The approach is based on the realization of the transition semigroup associated with the solution of a stochastic differential equation as a strongly continuous semigroup in theLp-space with respect to a weight that plays the role of a sub-stationary or stationary density. This way we obtain in particular a rigorous functional analytic description of the generator of the solution of a stochastic differential equation and its full domain. The existence of such a weight is shown under broad assumptions on the coefficients. A remarkable fact is that although the weight may not be unique, many important results are independent of it.Given such a weight and semigroup, one can construct and further analyze in detail a weak solution to the stochastic differential equation combining variational techniques, regularity theory for partial differential equations, potential, and generalized Dirichlet form theory.Under classical-like or various other criteria for non-explosion we obtain as one of our main applications the existence of a pathwise unique and strong solution with an infinite lifetime. These results substantially supplement the classical case of locally Lipschitz or monotone coefficients.We further treat other types of uniqueness and non-uniqueness questions, such as uniqueness and non-uniqueness of the mentioned weights and uniqueness in law, in a certain sense, of the solution. 144 pp. Englisch. Nº de ref. del artículo: 9789811938306
Cantidad disponible: 2 disponibles
Imagen de archivo
Analytic Theory of Itô-Stochastic Differential Equations with Non-smooth Coefficients (SpringerBriefs in Probability and Mathematical Statistics)
Librería: California Books, Miami, FL, Estados Unidos de America
Calificación del vendedor: 5 de 5 estrellas
Condición: New. Nº de ref. del artículo: I-9789811938306
Cantidad disponible: Más de 20 disponibles
Imagen del vendedor
Analytic Theory of Itô-Stochastic Differential Equations with Non-smooth Coefficients
Publicado por
Springer Nature Singapore, 2022
ISBN 10: 981193830X
ISBN 13: 9789811938306
Nuevo
Kartoniert / Broschiert
Librería: moluna, Greven, Alemania
Calificación del vendedor: 5 de 5 estrellas
Kartoniert / Broschiert. Condición: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Presents local and global properties of stochastic differential equations under minimal assumptions (state of the art) Shows the missing link between regularity theory of partial differential equations and stochastic differential equationsP. Nº de ref. del artículo: 600122667
Cantidad disponible: Más de 20 disponibles