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Random Obstacle Problems
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Random Obstacle Problems : Ecole d'Ete de Probabilites de Saint-Flour XLV - 2015

1st ed. 2017

by Lorenzo Zambotti

Book Details

Format Paperback / Softback
ISBN-10 3319520954
ISBN-13 9783319520957
Edition 1st ed. 2017
Publisher Springer International Publishing AG
Imprint Springer International Publishing AG
Country of Manufacture CH
Country of Publication GB
Publication Date Feb 28th, 2017
Print length 162 Pages
Weight 284 grams
Dimensions 23.50 x 15.60 x 1.00 cms
Product Classification: Probability & statistics Stochastics
Ksh 5,050.00 Werezi Extended Catalogue

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Studying the fine properties of solutions to Stochastic (Partial) Differential Equations with reflection at a boundary, this book begins with a discussion of classical one-dimensional diffusions as the reflecting Brownian motion, devoting a chapter to Bessel processes, and moves on to function-valued solutions to SPDEs.

Studying the fine properties of solutions to Stochastic (Partial) Differential Equations with reflection at a boundary, this book begins with a discussion of classical one-dimensional diffusions as the reflecting Brownian motion, devoting a chapter to Bessel processes, and moves on to function-valued solutions to SPDEs. Inspired by the classical stochastic calculus for diffusions, which is unfortunately still unavailable in infinite dimensions, it uses integration by parts formulae on convex sets of paths in order to describe the behaviour of the solutions at the boundary and the contact set between the solution and the obstacle. The text may serve as an introduction to space-time white noise, SPDEs and monotone gradient systems. Numerous open research problems in both classical and new topics are proposed.


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