Second order PDE's in finite and infinite dimension : a probabilistic approach / Sandra Cerrai
Type de document : Livre numériqueCollection : Lecture notes in mathematics, 1762Langue : anglais.Éditeur : Berlin : Springer, 2001ISBN: 9783540421368.ISSN: 1617-9692.Sujet MSC : 35R15, Miscellaneous topics in partial differential equations, PDEs on infinite-dimensional spaces60H15, Probability theory and stochastic processes - Stochastic analysis, Stochastic partial differential equations
35R60, Miscellaneous topics in partial differential equations, PDEs with randomness, stochastic partial differential equations
60H10, Probability theory and stochastic processes - Stochastic analysis, Stochastic ordinary differential equations
47H20, Operator theory - Nonlinear operators and their properties, Semigroups of nonlinear operatorsEn-ligne : Springerlink | Zentralblatt | MathSciNet
This is a review on some recent results on stochastic differential equations in finite and infinite dimensions. The book is structured in two parts which are independent of each other and which may be read separately. The first one is devoted to the study of stochastic ordinary differential equations and the second part deals with stochastic partial differential systems of reaction-diffusion type. As applications of these results the Kolmogorov equations, the large-time behaviour of solutions and some stochastic optimal control problems with the Hamilton-Jacobi-Bellman equations are studied. ... (MathSciNet)
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