Markov Processes, Feller Semigroups and Evolution Equations
Jan van Casteren
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.
Categories:
Year:
2010
Publisher:
WS
Language:
english
Pages:
825
ISBN 10:
9814322180
ISBN 13:
9789814322188
Series:
Series on Concrete and Applicable Mathematics
File:
PDF, 5.09 MB
IPFS:
,
english, 2010