Partial Differential Equations for Probabilists
Book Details
Format
Hardback or Cased Book
Book Series
Cambridge Studies in Advanced Mathematics
ISBN-10
0521886511
ISBN-13
9780521886512
Publisher
Cambridge University Press
Imprint
Cambridge University Press
Country of Manufacture
GB
Country of Publication
GB
Publication Date
Apr 28th, 2008
Print length
232 Pages
Weight
496 grams
Dimensions
16.00 x 23.60 x 2.10 cms
Ksh 11,150.00
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This book provides probabilists with sufficient background to begin applying PDEs to probability theory and probability theory to PDEs. It covers the theory of linear and second order PDEs of parabolic and elliptic type. While most of the techniques described have antecedents in probability theory, the book does cover a few purely analytic techniques.
This book deals with equations that have played a central role in the interplay between partial differential equations and probability theory. Most of this material has been treated elsewhere, but it is rarely presented in a manner that makes it readily accessible to people whose background is probability theory. Many results are given new proofs designed for readers with limited expertise in analysis. The author covers the theory of linear, second order, partial differential equations of parabolic and elliptic types. Many of the techniques have antecedents in probability theory, although the book also covers a few purely analytic techniques. In particular, a chapter is devoted to the De Giorgi–Moser–Nash estimates, and the concluding chapter gives an introduction to the theory of pseudodifferential operators and their application to hypoellipticity, including the famous theorem of Lars Hormander.
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