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Author Casteren, J. A. van.

Title Markov processes, Feller semigroups and evolution equations / Jan A. van Casteren
Published Singapore ; Hackensack, NJ : World Scientific, 2011
Online access available from:
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Description 1 online resource (xviii, 805 pages)
Series Series on concrete and applicable mathematics, 1793-1142 ; v. 12
Series on concrete and applicable mathematics ; v. 12
Contents Strong Markov processes on Polish spaces -- Strong Markov processes : proof of main results -- Space-time operators and miscellaneous topics -- Feynman-Kac formulas, backward stochastic differential equations, and Markov processes -- Viscosity solutions, backward stochastic differential equations, and Markov processes -- The Hamilton-Jacobi-Bellman equation and the stochastic Noether theorem -- On non-stationary Markov processes and Dunford projections -- Coupling methods and Sobolev type inequalities -- Invariant measure
Summary 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
Bibliography Includes bibliographical references (pages 759-788) and index
Notes Print version record
Subject Evolution equations.
Markov processes.
Form Electronic book
ISBN 9789814322195 (electronic bk.)
9814322199 (electronic bk.)