| Description |
1 online resource (xviii, 805 pages). |
| Physical Medium |
polychrome |
| Description |
text file |
| Series |
Series on concrete and applicable mathematics,
1793-1142 ;
v. 12
|
|
Series on concrete and applicable mathematics ; v. 12.
|
| Bibliography |
Includes bibliographical references (pages 759-788) and index. |
| Contents |
Strong Markov processes on Polish spaces -- Strong Markov processes : proof of main results -- Space-time operators and miscellaneous topics -- Feynman-Kac formulas, backward stochastic differential equations, and Markov processes -- Viscosity solutions, backward stochastic differential equations, and Markov processes -- The Hamilton-Jacobi-Bellman equation and the stochastic Noether theorem -- On non-stationary Markov processes and Dunford projections -- Coupling methods and Sobolev type inequalities -- Invariant measure. |
| Summary |
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. The book also establishes a link between propagators or evolution families with the Feller property and time-inhomogeneous Markov processes. This mathematical material finds its applications in several branches of the scientific world, among which are mathematical physics, hedging models in financial mathematics, and population models. |
| Local Note |
eBooks on EBSCOhost EBSCO eBook Subscription Academic Collection - North America |
| Subject |
Markov processes.
|
|
Markov processes. |
|
Evolution equations.
|
|
Evolution equations. |
| Genre/Form |
Electronic books.
|
|
Electronic books.
|
| Other Form: |
Print version: Casteren, J.A. van. Markov processes, Feller semigroups and evolution equations. Singapore ; Hackensack, NJ : World Scientific, 2011 9789814322188 (OCoLC)703355163 |
| ISBN |
9789814322195 (electronic book) |
|
9814322199 (electronic book) |
|
9789814322188 |
|
9814322180 |
|
