Markov processes, Feller semigroups and evolution equations /

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Bibliographic Details
Author / Creator:Casteren, J. A. van.
Imprint:Singapore ; Hackensack, NJ : World Scientific, 2011.
Description:1 online resource (xviii, 805 pages)
Series:Series on concrete and applicable mathematics, 1793-1142 ; v. 12
Series on concrete and applicable mathematics ; v. 12.
Subject:Markov processes.
Evolution equations.
MATHEMATICS -- Probability & Statistics -- Stochastic Processes.
Evolution equations.
Markov processes.
Electronic books.
Electronic books.
Format: E-Resource Book
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Notes:Includes bibliographical references (pages 759-788) and index.
Print version record.
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.
Other form:Print version: Casteren, J.A. van. Markov processes, Feller semigroups and evolution equations. Singapore ; Hackensack, NJ : World Scientific, 2011 9789814322188