Partial Differential Equations for Probabilists
By (author) Daniel W. Stroock
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Partial Differential Equations for Probabilists by Daniel W. Stroock
Book DescriptionThis book deals with equations that have played a central role in the interplay between partial differential equations and probability theory. Most of this material has been treated elsewhere, but it is rarely presented in a manner that makes it readily accessible to people whose background is probability theory. Many results are given new proofs designed for readers with limited expertise in analysis. The author covers the theory of linear, second order, partial differential equations of parabolic and elliptic types. Many of the techniques have antecedents in probability theory, although the book also covers a few purely analytic techniques. In particular, a chapter is devoted to the De Giorgi-Moser-Nash estimates, and the concluding chapter gives an introduction to the theory of pseudodifferential operators and their application to hypoellipticity, including the famous theorem of Lars Hormander.
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Book DetailsISBN: 9780521886512
(228mm x 152mm x 17mm)
Imprint: Cambridge University Press
Publisher: Cambridge University Press
Publish Date: 28-Apr-2008
Country of Publication: United Kingdom
Books By Author Daniel W. Stroock
Probability Theory, Hardback (December 2010)
A second edition of Daniel W. Stroock's classic probability theory textbook suitable for first-year graduate students with a good grasp of introductory, undergraduate probability.
Markov Processes from K. Ito's Perspective, Paperback (May 2003)» View all books by Daniel W. Stroock
Offers an account of Kiyosi Ito's program. This book offers an account of integral curves on the space of probability measures. It provides a systematic development of Ito's theory of stochastic integration: first for Brownian motion and then for continuous martingales.
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Author Biography - Daniel W. Stroock
Dr Daniel W. Stroock is the Simons Professor of Mathematics Emeritus at the Massachusetts Institute of Technology. He has published numerous articles and is the author of six books, most recently Probability Theory: An Analytic View, 2nd edition (2010).
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