Stochastic Partial Differential Equations with Lévy Noise

An Evolution Equation Approach

Author: S. Peszat

Publisher: Cambridge University Press

ISBN:

Category: Mathematics

Page: 419

View: 717

Comprehensive monograph by two leading international experts; includes applications to statistical and fluid mechanics and to finance.

Analysis of Stochastic Partial Differential Equations

Author: Davar Khoshnevisan

Publisher: American Mathematical Soc.

ISBN:

Category: Mathematics

Page: 116

View: 827

The general area of stochastic PDEs is interesting to mathematicians because it contains an enormous number of challenging open problems. There is also a great deal of interest in this topic because it has deep applications in disciplines that range from applied mathematics, statistical mechanics, and theoretical physics, to theoretical neuroscience, theory of complex chemical reactions [including polymer science], fluid dynamics, and mathematical finance. The stochastic PDEs that are studied in this book are similar to the familiar PDE for heat in a thin rod, but with the additional restriction that the external forcing density is a two-parameter stochastic process, or what is more commonly the case, the forcing is a "random noise," also known as a "generalized random field." At several points in the lectures, there are examples that highlight the phenomenon that stochastic PDEs are not a subset of PDEs. In fact, the introduction of noise in some partial differential equations can bring about not a small perturbation, but truly fundamental changes to the system that the underlying PDE is attempting to describe. The topics covered include a brief introduction to the stochastic heat equation, structure theory for the linear stochastic heat equation, and an in-depth look at intermittency properties of the solution to semilinear stochastic heat equations. Specific topics include stochastic integrals à la Norbert Wiener, an infinite-dimensional Itô-type stochastic integral, an example of a parabolic Anderson model, and intermittency fronts. There are many possible approaches to stochastic PDEs. The selection of topics and techniques presented here are informed by the guiding example of the stochastic heat equation. A co-publication of the AMS and CBMS.

Malliavin Calculus and Stochastic Analysis

A Festschrift in Honor of David Nualart

Author: Frederi Viens

Publisher: Springer Science & Business Media

ISBN:

Category: Mathematics

Page: 583

View: 470

The stochastic calculus of variations of Paul Malliavin (1925 - 2010), known today as the Malliavin Calculus, has found many applications, within and beyond the core mathematical discipline. Stochastic analysis provides a fruitful interpretation of this calculus, particularly as described by David Nualart and the scores of mathematicians he influences and with whom he collaborates. Many of these, including leading stochastic analysts and junior researchers, presented their cutting-edge research at an international conference in honor of David Nualart's career, on March 19-21, 2011, at the University of Kansas, USA. These scholars and other top-level mathematicians have kindly contributed research articles for this refereed volume.

Festschrift Masatoshi Fukushima

In Honor of Masatoshi Fukushima's Sanju

Author: Zhen-Qing Chen

Publisher: World Scientific

ISBN:

Category: Mathematics

Page: 620

View: 587

This book contains original research papers by leading experts in the fields of probability theory, stochastic analysis, potential theory and mathematical physics. There is also a historical account on Masatoshi Fukushima's contribution to mathematics, as well as authoritative surveys on the state of the art in the field. Contents:Professor Fukushima's Work:The Mathematical Work of Masatoshi Fukushima — An Essay (Zhen-Qing Chen, Niels Jacob, Masayoshi Takeda and Toshihiro Uemura)Bibliography of Masatoshi FukushimaContributions:Quasi Regular Dirichlet Forms and the Stochastic Quantization Problem (Sergio Albeverio, Zhi-Ming Ma and Michael Röckner)Comparison of Quenched and Annealed Invariance Principles for Random Conductance Model: Part II (Martin Barlow, Krzysztof Burdzy and Adám Timár)Some Historical Aspects of Error Calculus by Dirichlet Forms (Nicolas Bouleau)Stein's Method, Malliavin Calculus, Dirichlet Forms and the Fourth Moment Theorem (Louis H Y Chen and Guillaume Poly)Progress on Hardy-Type Inequalities (Mu-Fa Chen)Functional Inequalities for Pure-Jump Dirichlet Forms (Xin Chen, Feng-Yu Wang and Jian Wang)Additive Functionals and Push Forward Measures Under Veretennikov's Flow (Shizan Fang and Andrey Pilipenko)On a Result of D W Stroock (Patrick J Fitzsimmons)Consistent Risk Measures and a Non-Linear Extension of Backwards Martingale Convergence (Hans Föllmer and Irina Penner)Unavoidable Collections of Balls for Processes with Isotropic Unimodal Green Function (Wolfhard Hansen)Functions of Locally Bounded Variation on Wiener Spaces (Masanori Hino)A Dirichlet Space on Ends of Tree and Superposition of Nodewise Given Dirichlet Forms with Tier Linkage (Hiroshi Kaneko)Dirichlet Forms in Quantum Theory (Witold Karwowski and Ludwig Streit)On a Stability of Heat Kernel Estimates under Generalized Non-Local Feynman-Kac Perturbations for Stable-Like Processes (Daehong Kim and Kazuhiro Kuwae)Martin Boundary for Some Symmetric Lévy Processes (Panki Kim, Renming Song and Zoran Vondraček)Level Statistics of One-Dimensional Schrödinger Operators with Random Decaying Potential (Shinichi Kotani and Fumihiko Nakano)Perturbation of the Loop Measure (Yves Le Jan and Jay Rosen)Regular Subspaces of Dirichlet Forms (Liping Li and Jiangang Ying)Quasi-Regular Semi-Dirichlet Forms and Beyond (Zhi-Ming Ma, Wei Sun and Li-Fei Wang)Large Deviation Estimates for Controlled Semi-Martingales (Hideo Nagai)A Comparison Theorem for Backward SPDEs with Jumps (Bernt Øksendal, Agnès Sulem and Tusheng Zhang)On a Construction of a Space-Time Diffusion Process with Boundary Condition (Yoichi Oshima)Lower Bounded Semi-Dirichlet Forms Associated with Lévy Type Operators (René L Schilling and Jian Wang)Ultracontractivity for Non-Symmetric Markovian Semigroups (Ichiro Shigekawa)Metric Measure Spaces with Variable Ricci Bounds and Couplings of Brownian Motions (Karl-Theodor Sturm)Intrinsic Ultracontractivity and Semi-Small Perturbation for Skew Product Diffusion Operators (Matsuyo Tomisaki) Readership: Researchers in probability, stochastic analysis and mathematical physics. Key Features:Research papers by leading expertsHistorical account of M Fukushima's contribution to mathematicsAuthoritative surveys on the state of the art in the fieldKeywords:Probability Theory;Markov Processes;Dirichlet Forms;Potential Theory;Mathematical Physics

Spectral Analysis, Differential Equations and Mathematical Physics: A Festschrift in Honor of Fritz Gesztesy's 60th Birthday

A Festschrift in Honor of Fritz Gesztesy's 60th Birthday

Author: Helge Holden

Publisher: American Mathematical Soc.

ISBN:

Category: Mathematics

Page: 376

View: 439

This volume contains twenty contributions in the area of mathematical physics where Fritz Gesztesy made profound contributions. There are three survey papers in spectral theory, differential equations, and mathematical physics, which highlight, in particu

Proceedings

Mathematical, physical, and engineering sciences

Author:

Publisher:

ISBN:

Category: Engineering

Page:

View: 332