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Stochastic Pdes And Kolmogorov Equations In Infinite Dimensions - ENG

Lectures Given At The 2nd Session Of The Centro Internazionale Matematico Estivo (c.i.m.e.)held In Cetraro, Italy, August 24 - September 1, 1998
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ISBN: 9783540481614
Formato: Page Fidelity
Idioma: Inglés
Editorial: Springer Nature
Tema: Matemáticas
Subtema: Probabilidad y estadística general
Año de publicación: 2006-11-15

Kolmogorov equations are second order parabolic equations with a finite or an infinite number of variables. They are deeply connected with stochastic differential equations in finite or infinite dimensional spaces. They arise in many fields as Mathematical Physics, Chemistry and Mathematical Finance. These equations can be studied both by probabilistic and by analytic methods, using such tools as Gaussian measures, Dirichlet Forms, and stochastic calculus. The following courses have been delivered: N.V. Krylov presented Kolmogorov equations coming from finite-dimensional equations, giving existence, uniqueness and regularity results. M. Röckner has presented an approach to Kolmogorov equations in infinite dimensions, based on an LP-analysis of the corresponding diffusion operators with respect to suitably chosen measures. J. Zabczyk started from classical results of L. Gross, on the heat equation in infinite dimension, and discussed some recent results.

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