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Record Nr. |
UNISA996466672203316 |
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Autore |
Cerrai Sandra |
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Titolo |
Second Order PDE's in Finite and Infinite Dimension [[electronic resource] ] : A Probabilistic Approach / / by Sandra Cerrai |
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Pubbl/distr/stampa |
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Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2001 |
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ISBN |
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Edizione |
[1st ed. 2001.] |
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Descrizione fisica |
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1 online resource (XII, 332 p.) |
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Collana |
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Lecture Notes in Mathematics, , 0075-8434 ; ; 1762 |
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Disciplina |
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Soggetti |
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Partial differential equations |
Probabilities |
Partial Differential Equations |
Probability Theory and Stochastic Processes |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Bibliographic Level Mode of Issuance: Monograph |
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Nota di bibliografia |
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Includes bibliographical references and index. |
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Nota di contenuto |
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Kolmogorov equations in Rd with unbounded coefficients -- Asymptotic behaviour of solutions -- Analyticity of the semigroup in a degenerate case -- Smooth dependence on data for the SPDE: the Lipschitz case -- Kolmogorov equations in Hilbert spaces -- Smooth dependence on data for the SPDE: the non-Lipschitz case (I) -- Smooth dependence on data for the SPDE: the non-Lipschitz case (II) -- Ergodicity -- Hamilton- Jacobi-Bellman equations in Hilbert spaces -- Application to stochastic optimal control problems. |
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Sommario/riassunto |
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The main objective of this monograph is the study of a class of stochastic differential systems having unbounded coefficients, both in finite and in infinite dimension. We focus our attention on the regularity properties of the solutions and hence on the smoothing effect of the corresponding transition semigroups in the space of bounded and uniformly continuous functions. As an application of these results, we study the associated Kolmogorov equations, the large-time behaviour of the solutions and some stochastic optimal control problems together with the corresponding Hamilton- Jacobi-Bellman equations. In the literature there exists a large number of works (mostly in finite dimen sion) dealing with these arguments in the case of bounded Lipschitz-continuous coefficients and some of them concern the case of |
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