Stochastic PDE's and Kolmogorov Equations in Infinite Dimensions: Lectures given at the 2nd Session of the Centro Internazionale Matematico Estivo (C.I.M.E.)held in Cetraro, Italy, August 24 - September 1, 1998 / Edition 1

Stochastic PDE's and Kolmogorov Equations in Infinite Dimensions: Lectures given at the 2nd Session of the Centro Internazionale Matematico Estivo (C.I.M.E.)held in Cetraro, Italy, August 24 - September 1, 1998 / Edition 1

by N.V. Krylov, M. Rockner, J. Zabczyk
     
 

ISBN-10: 3540665455

ISBN-13: 9783540665458

Pub. Date: 11/23/1999

Publisher: Springer Berlin Heidelberg

Kolmogorov equations are second order parabolic equations with a finite or an infinite number of variables. They are deeply connected with shastic differential equations in finite or infinite dimensional spaces. They arise in many fields as Mathematical Physics, Chemistry and Mathematical Finance. These equations can be studied both by probabilistic and by analytic

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Overview

Kolmogorov equations are second order parabolic equations with a finite or an infinite number of variables. They are deeply connected with shastic differential equations in finite or infinite dimensional spaces. They arise in many fields as Mathematical Physics, Chemistry and Mathematical Finance. These equations can be studied both by probabilistic and by analytic methods, using such tools as Gaussian measures, Dirichlet Forms, and shastic calculus. The following courses have been delivered: N.V. Krylov presented Kolmogorov equations coming from finite-dimensional equations, giving existence, uniqueness and regularity results. M. Röckner has presented an approach to Kolmogorov equations in infinite dimensions, based on an LP-analysis of the corresponding diffusion operators with respect to suitably chosen measures. J. Zabczyk started from classical results of L. Gross, on the heat equation in infinite dimension, and discussed some recent results.

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Product Details

ISBN-13:
9783540665458
Publisher:
Springer Berlin Heidelberg
Publication date:
11/23/1999
Series:
Lecture Notes in Mathematics / C.I.M.E. Foundation Subseries, #1715
Edition description:
1999
Pages:
244
Product dimensions:
6.10(w) x 9.10(h) x 0.60(d)

Table of Contents

On Kolmogorov’s equations for finite dimensional diffusions.- L p-analysis of finite and infinite dimensional diffusion operators.- Parabolic equations on Hilbert spaces.

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