Stochastic Partial Differential Equations

ISBN: 9780367453121 出版年：2007 页码：294 Chow, Pao-Liu CRC Press

Preliminaries Introduction Some Examples Brownian Motions and Martingales Stochastic Integrals Stochastic Differential Equations of Ito Type Levy Processes and Stochastic Integrals Stochastic Differential Equations of Levy Type Comments Scalar Equations of First Order Introduction Generalized Ito's Formula Linear Stochastic Equations Quasilinear Equations General Remarks Stochastic Parabolic Equations Introduction Preliminaries Solution of Stochastic Heat Equation Linear Equations with Additive Noise Some Regularity Properties Stochastic Reaction-Diffusion Equations Parabolic Equations with Gradient-Dependent Noise Nonlinear Parabolic Equations with Levy-Type Noise Stochastic Parabolic Equations in the Whole Space Introduction Preliminaries Linear and Semilinear Equations Feynman-Kac Formula Positivity of Solutions Correlation Functions of Solutions Stochastic Hyperbolic Equations Introduction Preliminaries Wave Equation with Additive Noise Semilinear Wave Equations Wave Equations in an Unbounded Domain Randomly Perturbed Hyperbolic Systems Stochastic Evolution Equations in Hilbert Spaces Introduction Hilbert Space-Valued Martingales Stochastic Integrals in Hilbert Spaces Ito's Formula Stochastic Evolution Equations Mild Solutions Strong Solutions Stochastic Evolution Equations of the Second Order Asymptotic Behavior of Solutions Introduction Ito's Formula and Lyapunov Functionals Boundedness of Solutions Stability of Null Solution Invariant Measures Small Random Perturbation Problems Large Deviations Problems Further Applications Introduction Stochastic Burgers and Related Equations Random Schrodinger Equation Nonlinear Stochastic Beam Equations Stochastic Stability of Cahn-Hilliard Equation Invariant Measures for Stochastic Navier-Stokes Equations Spatial Population Growth Model in Random Environment HJMM Equation in Finance Diffusion Equations in Infinite Dimensions Introduction Diffusion Processes and Kolmogorov Equations Gauss-Sobolev Spaces Ornstein-Uhlenbeck Semigroup Parabolic Equations and Related Elliptic Problems Characteristic Functionals and Hopf Equations Bibliography Index