Stochastic Partial Differential Equations and Applications: Proceedings of a Conference held in Trento, Italy, Sept. 30–Oct. 5, 1985

Piermarco Cannarsa, Vincenzo Vespri (auth.), Giuseppe Da Prato, Luciano Tubaro (eds.)9780387172118, 0-387-17211-4

Stochastic Partial Differential Equations and Applications gives an overview of current state-of-the-art stochastic PDEs in several fields, such as filtering theory, stochastic quantization, quantum probability, and mathematical finance. Featuring contributions from leading expert participants at an international conference on the subject, this book presents valuable information for PhD students in probability and PDEs as well as for researchers in pure and applied mathematics. Coverage includes Navier-Stokes equations, Ornstein-Uhlenbeck semigroups, quantum stochastic differential equations, applications of SPDE, 3D stochastic Navier-Stokes equations, and nonlinear filtering.

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Table of contents :
Existence and uniqueness results for a non linear stochastic partial differential equation….Pages 1-24
Continuity in non linear filtering some different approacees….Pages 25-39
Expectation functionals associated with some stochastic evolution equations….Pages 40-56
Dirichlet boundary value problem and optimal control for a stochastic distributed parameter system….Pages 57-71
Stochastic product integration and stochastic equations….Pages 72-120
Some remarks on a problem in stochastic optimal control….Pages 121-130
Passage from two-parameters to infinite dimension….Pages 131-153
The heat equation and fourier transforms of generalized brownian functionals….Pages 154-163
The separation principle for stochastic differential equations with unbounded coefficients….Pages 164-171
Weak convergence of measure valued processes using sobolev-imbedding techniques….Pages 172-183
Probability distributions of solutions to some stochastic partial differential equations….Pages 184-199
Two-sided stochastic calculus for spdes….Pages 200-207
Convergence of implicit discretization schemes for linear differential equations with application to filtering….Pages 208-229
Some applications of the Malliavin calculus to stochastic analysis….Pages 230-238
Exit problem for infinite dimensional systems….Pages 239-257