Markov Processes, Feller Semigroups and Evolution Equations by Jan van Casteren
(Series on Concrete and Applicable Mathematics)

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Synopsis

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.
 

About Jan van Casteren

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Published November 25, 2010 by World Scientific Publishing Company. 824 pages
Genres: Science & Math.

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