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)
Language:	English
Series:	Series on concrete and applicable mathematics, 1793-1142 ; v. 12 Series on concrete and applicable mathematics ; v. 12.
Subject:	Markov processes. Evolution equations. Evolution equations. Markov processes. Electronic books.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/11258874

Hidden Bibliographic Details
ISBN:	9789814322195 9814322199 9789814322188 9814322180
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

Table of 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.

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