Second Order PDE's in Finite and Infinite Dimension: A Probabilistic Approach
- ISBN-10
- 354042136X
- ISBN-13
- 9783540421368
- Category
- Mathematics
- Pages
- 330
- Language
- English
- Published
- 2001-06-20
- Publisher
- Springer Science & Business Media
- Author
- Sandra Cerrai
Description
This book deals with the study of a class of stochastic differential systems having unbounded coefficients, both in finite and in infinite dimension. The attention is focused on the regularity properties of the solutions and on the smoothing effect of the corresponding transition semigroups in the space of bounded and uniformly continuous functions. The application is to the study of the associated Kolmogorov equations, the large time behaviour of the solutions and some stochastic optimal control problems. The techniques are from the theory of diffusion processes and from stochastic analysis, but also from the theory of partial differential equations with finitely and infinitely many variables.
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