Partial Differential Equations for Probabilists
Seiten
2012
Cambridge University Press (Verlag)
978-1-107-40052-8 (ISBN)
Cambridge University Press (Verlag)
978-1-107-40052-8 (ISBN)
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.
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.
Dr Daniel W. Stroock is the Simons Professor of Mathematics Emeritus at the Massachusetts Institute of Technology. He has published numerous articles and is the author of six books, most recently Probability Theory: An Analytic View, 2nd edition (2010).
1. Kolmogorov's forward, basic results; 2. Non-elliptic regularity results; 3. Preliminary elliptic regularity results; 4. Nash theory; 5. Localization; 6. On a manifold; 7. Subelliptic estimates and Hörmander's theorem.
| Erscheint lt. Verlag | 7.5.2012 |
|---|---|
| Reihe/Serie | Cambridge Studies in Advanced Mathematics |
| Zusatzinfo | Worked examples or Exercises |
| Verlagsort | Cambridge |
| Sprache | englisch |
| Maße | 152 x 228 mm |
| Gewicht | 340 g |
| Themenwelt | Mathematik / Informatik ► Mathematik ► Analysis |
| ISBN-10 | 1-107-40052-X / 110740052X |
| ISBN-13 | 978-1-107-40052-8 / 9781107400528 |
| Zustand | Neuware |
| Informationen gemäß Produktsicherheitsverordnung (GPSR) | |
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