Stochastic Partial Differential Equations and Applications
Proceedings of a Conference held in Trento, Italy, September 30 - October 5, 1985
Published on 25. March 1987
Book
Paperback/Softback
VIII, 264 pages
978-3-540-17211-6 (ISBN)
Description
Existence and uniqueness results for a non linear stochastic partial differential equation.- Continuity in non linear filtering some different approacees.- Expectation functionals associated with some stochastic evolution equations.- Dirichlet boundary value problem and optimal control for a stochastic distributed parameter system.- Stochastic product integration and stochastic equations.- Some remarks on a problem in stochastic optimal control.- Passage from two-parameters to infinite dimension.- The heat equation and fourier transforms of generalized brownian functionals.- The separation principle for stochastic differential equations with unbounded coefficients.- Weak convergence of measure valued processes using sobolev-imbedding techniques.- Probability distributions of solutions to some stochastic partial differential equations.- Two-sided stochastic calculus for spdes.- Convergence of implicit discretization schemes for linear differential equations with application to filtering.- Some applications of the Malliavin calculus to stochastic analysis.- Exit problem for infinite dimensional systems.
More details
Series
Edition
1987 ed.
Language
English
Place of publication
Berlin
Germany
Publishing group
Springer Berlin
Target group
Professional and scholarly
Research
Illustrations
VIII, 264 p.
Dimensions
Height: 235 mm
Width: 155 mm
Thickness: 15 mm
Weight
411 gr
ISBN-13
978-3-540-17211-6 (9783540172116)
DOI
10.1007/BFb0072879
Schweitzer Classification
Content
Existence and uniqueness results for a non linear stochastic partial differential equation.- Continuity in non linear filtering some different approacees.- Expectation functionals associated with some stochastic evolution equations.- Dirichlet boundary value problem and optimal control for a stochastic distributed parameter system.- Stochastic product integration and stochastic equations.- Some remarks on a problem in stochastic optimal control.- Passage from two-parameters to infinite dimension.- The heat equation and fourier transforms of generalized brownian functionals.- The separation principle for stochastic differential equations with unbounded coefficients.- Weak convergence of measure valued processes using sobolev-imbedding techniques.- Probability distributions of solutions to some stochastic partial differential equations.- Two-sided stochastic calculus for spdes.- Convergence of implicit discretization schemes for linear differential equations with application to filtering.- Some applications of the Malliavin calculus to stochastic analysis.- Exit problem for infinite dimensional systems.