Download or read book Harnack Inequalities for Stochastic Partial Differential Equations written by Feng-Yu Wang and published by Springer Science & Business Media. This book was released on 2013-08-13 with total page 135 pages. Available in PDF, EPUB and Kindle. Book excerpt: ​In this book the author presents a self-contained account of Harnack inequalities and applications for the semigroup of solutions to stochastic partial and delayed differential equations. Since the semigroup refers to Fokker-Planck equations on infinite-dimensional spaces, the Harnack inequalities the author investigates are dimension-free. This is an essentially different point from the above mentioned classical Harnack inequalities. Moreover, the main tool in the study is a new coupling method (called coupling by change of measures) rather than the usual maximum principle in the current literature.

Download or read book Stochastic Partial Differential Equations and Related Fields written by Andreas Eberle and published by Springer. This book was released on 2018-07-03 with total page 574 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Festschrift contains five research surveys and thirty-four shorter contributions by participants of the conference ''Stochastic Partial Differential Equations and Related Fields'' hosted by the Faculty of Mathematics at Bielefeld University, October 10–14, 2016. The conference, attended by more than 140 participants, including PostDocs and PhD students, was held both to honor Michael Röckner's contributions to the field on the occasion of his 60th birthday and to bring together leading scientists and young researchers to present the current state of the art and promising future developments. Each article introduces a well-described field related to Stochastic Partial Differential Equations and Stochastic Analysis in general. In particular, the longer surveys focus on Dirichlet forms and Potential theory, the analysis of Kolmogorov operators, Fokker–Planck equations in Hilbert spaces, the theory of variational solutions to stochastic partial differential equations, singular stochastic partial differential equations and their applications in mathematical physics, as well as on the theory of regularity structures and paracontrolled distributions. The numerous research surveys make the volume especially useful for graduate students and researchers who wish to start work in the above-mentioned areas, or who want to be informed about the current state of the art.

Download or read book Harnack s Inequality for Degenerate and Singular Parabolic Equations written by Emmanuele DiBenedetto and published by Springer Science & Business Media. This book was released on 2011-11-13 with total page 287 pages. Available in PDF, EPUB and Kindle. Book excerpt: Degenerate and singular parabolic equations have been the subject of extensive research for the last 25 years. Despite important achievements, the issue of the Harnack inequality for non-negative solutions to these equations, both of p-Laplacian and porous medium type, while raised by several authors, has remained basically open. Recently considerable progress has been made on this issue, to the point that, except for the singular sub-critical range, both for the p-laplacian and the porous medium equations, the theory is reasonably complete. It seemed therefore timely to trace a comprehensive overview, that would highlight the main issues and also the problems that still remain open. The authors give a comprehensive treatment of the Harnack inequality for non-negative solutions to p-laplace and porous medium type equations, both in the degenerate (p/i”2 or im/i”1) and in the singular range (1“ip/i2 or 0“im/i

Download or read book A Minicourse on Stochastic Partial Differential Equations written by Robert C. Dalang and published by Springer Science & Business Media. This book was released on 2009 with total page 230 pages. Available in PDF, EPUB and Kindle. Book excerpt: This title contains lectures that offer an introduction to modern topics in stochastic partial differential equations and bring together experts whose research is centered on the interface between Gaussian analysis, stochastic analysis, and stochastic PDEs.

Download or read book Weighted Inequalities and Degenerate Elliptic Partial Differential Equations written by E.W. Stredulinsky and published by Springer. This book was released on 2006-12-08 with total page 149 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stochastic Partial Differential Equations Second Edition written by Pao-Liu Chow and published by CRC Press. This book was released on 2014-12-10 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt: Explore Theory and Techniques to Solve Physical, Biological, and Financial Problems Since the first edition was published, there has been a surge of interest in stochastic partial differential equations (PDEs) driven by the Lévy type of noise. Stochastic Partial Differential Equations, Second Edition incorporates these recent developments and improves the presentation of material. New to the Second Edition Two sections on the Lévy type of stochastic integrals and the related stochastic differential equations in finite dimensions Discussions of Poisson random fields and related stochastic integrals, the solution of a stochastic heat equation with Poisson noise, and mild solutions to linear and nonlinear parabolic equations with Poisson noises Two sections on linear and semilinear wave equations driven by the Poisson type of noises Treatment of the Poisson stochastic integral in a Hilbert space and mild solutions of stochastic evolutions with Poisson noises Revised proofs and new theorems, such as explosive solutions of stochastic reaction diffusion equations Additional applications of stochastic PDEs to population biology and finance Updated section on parabolic equations and related elliptic problems in Gauss–Sobolev spaces The book covers basic theory as well as computational and analytical techniques to solve physical, biological, and financial problems. It first presents classical concrete problems before proceeding to a unified theory of stochastic evolution equations and describing applications, such as turbulence in fluid dynamics, a spatial population growth model in a random environment, and a stochastic model in bond market theory. The author also explores the connection of stochastic PDEs to infinite-dimensional stochastic analysis.

Download or read book Analytic Theory of It Stochastic Differential Equations with Non smooth Coefficients written by Haesung Lee and published by Springer Nature. This book was released on 2022-08-27 with total page 139 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides analytic tools to describe local and global behavior of solutions to Itô-stochastic differential equations with non-degenerate Sobolev diffusion coefficients and locally integrable drift. Regularity theory of partial differential equations is applied to construct such solutions and to obtain strong Feller properties, irreducibility, Krylov-type estimates, moment inequalities, various types of non-explosion criteria, and long time behavior, e.g., transience, recurrence, and convergence to stationarity. The approach is based on the realization of the transition semigroup associated with the solution of a stochastic differential equation as a strongly continuous semigroup in the Lp-space with respect to a weight that plays the role of a sub-stationary or stationary density. This way we obtain in particular a rigorous functional analytic description of the generator of the solution of a stochastic differential equation and its full domain. The existence of such a weight is shown under broad assumptions on the coefficients. A remarkable fact is that although the weight may not be unique, many important results are independent of it. Given such a weight and semigroup, one can construct and further analyze in detail a weak solution to the stochastic differential equation combining variational techniques, regularity theory for partial differential equations, potential, and generalized Dirichlet form theory. Under classical-like or various other criteria for non-explosion we obtain as one of our main applications the existence of a pathwise unique and strong solution with an infinite lifetime. These results substantially supplement the classical case of locally Lipschitz or monotone coefficients.We further treat other types of uniqueness and non-uniqueness questions, such as uniqueness and non-uniqueness of the mentioned weights and uniqueness in law, in a certain sense, of the solution.

Download or read book Stochastic Partial Differential Equations written by Alison Etheridge and published by Cambridge University Press. This book was released on 1995-07-13 with total page 356 pages. Available in PDF, EPUB and Kindle. Book excerpt: Consists of papers given at the ICMS meeting held in 1994 on this topic, and brings together some of the world's best known authorities on stochastic partial differential equations.

Download or read book Analysis and Partial Differential Equations on Manifolds Fractals and Graphs written by Alexander Grigor'yan and published by Walter de Gruyter GmbH & Co KG. This book was released on 2021-01-18 with total page 337 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book covers the latest research in the areas of mathematics that deal the properties of partial differential equations and stochastic processes on spaces in connection with the geometry of the underlying space. Written by experts in the field, this book is a valuable tool for the advanced mathematician.

Download or read book Stochastic Analysis and Applications to Finance written by Tusheng Zhang and published by World Scientific. This book was released on 2012-07-17 with total page 464 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume is a collection of solicited and refereed articles from distinguished researchers across the field of stochastic analysis and its application to finance. The articles represent new directions and newest developments in this exciting and fast growing area. The covered topics range from Markov processes, backward stochastic differential equations, stochastic partial differential equations, stochastic control, potential theory, functional inequalities, optimal stopping, portfolio selection, to risk measure and risk theory. It will be a very useful book for young researchers who want to learn about the research directions in the area, as well as experienced researchers who want to know about the latest developments in the area of stochastic analysis and mathematical finance. Contents:Non-Linear Evolution Equations Driven by Rough Paths (Thomas Cass, Zhongmin Qian and Jan Tudor)Optimal Stopping Times with Different Information Levels and with Time Uncertainty (Arijit Chakrabarty and Xin Guo)Finite Horizon Optimal Investment and Consumption with CARA Utility and Proportional Transaction Costs (Yingshan Chen, Min Dai and Kun Zhao)MUniform Integrability of Exponential Martingales and Spectral Bounds of Non-Local Feynman-Kac Semigroups (Zhen-Qing Chen)Continuous-Time Mean-Variance Portfolio Selection with Finite Transactions (Xiangyu Cui, Jianjun Gao and Duan Li)Quantifying Model Uncertainties in the Space of Probability Measures (J Duan, T Gao and G He)A PDE Approach to Multivariate Risk Theory (Robert J Elliott, Tak Kuen Siu and Hailiang Yang)Stochastic Analysis on Loop Groups (Shizan Fang)Existence and Stability of Measure Solutions for BSDE with Generators of Quadratic Growth (Alexander Fromm, Peter Imkeller and Jianing Zhang)Convex Capital Requirements for Large Portfolios (Hans Föllmer and Thomas Knispel)The Mixed Equilibrium of Insider Trading in the Market with Rational Expected Price (Fuzhou Gong and Hong Liu)Some Results on Backward Stochastic Differential Equations Driven by Fractional Brownian Motions (Yaozhong Hu, Daniel Ocone and Jian Song)Potential Theory of Subordinate Brownian Motions Revisited (Panki Kim, Renming Song and Zoran Vondraček)Research on Social Causes of the Financial Crisis (Steven Kou)Wick Formulas and Inequalities for the Quaternion Gaussian and β-Permanental Variables (Wenbo V Li and Ang Wei)Further Study on Web Markov Skeleton Processes (Yuting Liu, Zhi-Ming Ma and Chuan Zhou)MLE of Parameters in the Drifted Brownian Motion and Its Error (Lemee Nakamura and Weian Zheng)Optimal Partial Information Control of SPDEs with Delay and Time-Advanced Backward SPDEs (Bernt Øksendal, Agnès Sulem and Tusheng Zhang)Simulation of Diversified Portfolios in Continuous Financial Markets (Eckhard Platen and Renata Rendek)Coupling and Applications (Feng-Yu Wang)SDEs and a Generalised Burgers Equation (Jiang-Lun Wu and Wei Yang)Mean-Variance Hedging in the Discontinuous Case (Jianming Xia) Readership: Graduates and researchers in stochatic analysis and mathematical finance. Keywords:Stochastic Analysis;Finance;Stochastic Partial Differential Equations;Backward Stochastic Differential Equations;Potential TheoryKey Features:Unique combination of stochastic analysis and financeSolicited articles from leading researchers in the areaA volume in honour of Jia-an Yan, a prominent scholar in both stochastic analysis and mathematical finance

Download or read book Analysis of Stochastic Partial Differential Equations written by Davar Khoshnevisan and published by American Mathematical Soc.. This book was released on 2014-06-11 with total page 127 pages. Available in PDF, EPUB and Kindle. Book excerpt: The general area of stochastic PDEs is interesting to mathematicians because it contains an enormous number of challenging open problems. There is also a great deal of interest in this topic because it has deep applications in disciplines that range from applied mathematics, statistical mechanics, and theoretical physics, to theoretical neuroscience, theory of complex chemical reactions [including polymer science], fluid dynamics, and mathematical finance. The stochastic PDEs that are studied in this book are similar to the familiar PDE for heat in a thin rod, but with the additional restriction that the external forcing density is a two-parameter stochastic process, or what is more commonly the case, the forcing is a "random noise," also known as a "generalized random field." At several points in the lectures, there are examples that highlight the phenomenon that stochastic PDEs are not a subset of PDEs. In fact, the introduction of noise in some partial differential equations can bring about not a small perturbation, but truly fundamental changes to the system that the underlying PDE is attempting to describe. The topics covered include a brief introduction to the stochastic heat equation, structure theory for the linear stochastic heat equation, and an in-depth look at intermittency properties of the solution to semilinear stochastic heat equations. Specific topics include stochastic integrals à la Norbert Wiener, an infinite-dimensional Itô-type stochastic integral, an example of a parabolic Anderson model, and intermittency fronts. There are many possible approaches to stochastic PDEs. The selection of topics and techniques presented here are informed by the guiding example of the stochastic heat equation. A co-publication of the AMS and CBMS.

Download or read book Partial Differential Inequalities with Nonlinear Convolution Terms written by Marius Ghergu and published by Springer Nature. This book was released on 2023-01-01 with total page 141 pages. Available in PDF, EPUB and Kindle. Book excerpt: This brief research monograph uses modern mathematical methods to investigate partial differential equations with nonlinear convolution terms, enabling readers to understand the concept of a solution and its asymptotic behavior. In their full generality, these inequalities display a non-local structure. Classical methods, such as maximum principle or sub- and super-solution methods, do not apply to this context. This work discusses partial differential inequalities (instead of differential equations) for which there is no variational setting. This current work brings forward other methods that prove to be useful in understanding the concept of a solution and its asymptotic behavior related to partial differential inequalities with nonlinear convolution terms. It promotes and illustrates the use of a priori estimates, Harnack inequalities, and integral representation of solutions. One of the first monographs on this rapidly expanding field, the present work appeals to graduate and postgraduate students as well as to researchers in the field of partial differential equations and nonlinear analysis.

Download or read book Stochastic Partial Differential Equations written by Helge Holden and published by Springer Science & Business Media. This book was released on 2013-12-01 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is based on research that, to a large extent, started around 1990, when a research project on fluid flow in stochastic reservoirs was initiated by a group including some of us with the support of VISTA, a research coopera tion between the Norwegian Academy of Science and Letters and Den norske stats oljeselskap A.S. (Statoil). The purpose of the project was to use stochastic partial differential equations (SPDEs) to describe the flow of fluid in a medium where some of the parameters, e.g., the permeability, were stochastic or "noisy". We soon realized that the theory of SPDEs at the time was insufficient to handle such equations. Therefore it became our aim to develop a new mathematically rigorous theory that satisfied the following conditions. 1) The theory should be physically meaningful and realistic, and the corre sponding solutions should make sense physically and should be useful in applications. 2) The theory should be general enough to handle many of the interesting SPDEs that occur in reservoir theory and related areas. 3) The theory should be strong and efficient enough to allow us to solve th,~se SPDEs explicitly, or at least provide algorithms or approximations for the solutions.

Download or read book Non Divergence Equations Structured on Hormander Vector Fields Heat Kernels and Harnack Inequalities written by Marco Bramanti and published by American Mathematical Soc.. This book was released on 2010 with total page 136 pages. Available in PDF, EPUB and Kindle. Book excerpt: "March 2010, Volume 204, number 961 (end of volume)."

Download or read book Fine Regularity of Solutions of Elliptic Partial Differential Equations written by Jan Malý and published by American Mathematical Soc.. This book was released on 1997 with total page 309 pages. Available in PDF, EPUB and Kindle. Book excerpt: The primary objective of this monograph is to give a comprehensive exposition of results surrounding the work of the authors concerning boundary regularity of weak solutions of second order elliptic quasilinear equations in divergence form. The book also contains a complete development of regularity of solutions of variational inequalities, including the double obstacle problem, where the obstacles are allowed to be discontinuous. The book concludes with a chapter devoted to the existence theory thus providing the reader with a complete treatment of the subject ranging from regularity of weak solutions to the existence of weak solutions.

Download or read book Isolated Singularities in Partial Differential Inequalities written by Marius Ghergu and published by Cambridge University Press. This book was released on 2016-01-25 with total page 480 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this monograph, the authors present some powerful methods for dealing with singularities in elliptic and parabolic partial differential inequalities. Here, the authors take the unique approach of investigating differential inequalities rather than equations, the reason being that the simplest way to study an equation is often to study a corresponding inequality; for example, using sub and superharmonic functions to study harmonic functions. Another unusual feature of the present book is that it is based on integral representation formulae and nonlinear potentials, which have not been widely investigated so far. This approach can also be used to tackle higher order differential equations. The book will appeal to graduate students interested in analysis, researchers in pure and applied mathematics, and engineers who work with partial differential equations. Readers will require only a basic knowledge of functional analysis, measure theory and Sobolev spaces.

Download or read book Stochastic Partial Differential Equations and Applications VII written by Giuseppe Da Prato and published by CRC Press. This book was released on 2005-10-12 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic Partial Differential Equations and Applications gives an overview of current state-of-the-art stochastic PDEs in several fields, such as filtering theory, stochastic quantization, quantum probability, and mathematical finance. Featuring contributions from leading expert participants at an international conference on the subject, this boo