Markov Processes, Feller Semigroups and Evolution Equations

ISBN-13: 9789814322188 / Angielski / Twarda / 2010 / 824 str.

Jan A. Van Casteren

Opis

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. This mathematical material finds its applications in several branches of the scientific world among which mathematical physics, hedging models in financial mathematics, population models.