Random obstacle problems : École d'Été de Probabilités de Saint-Flour XLV - 2015 / Lorenzo Zambotti.

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Random obstacle problems : École d'Été de Probabilités de Saint-Flour XLV - 2015 / Lorenzo Zambotti.

9783319520964 (electronic book)
3319520962 (electronic book)
3319520954
9783319520957

[Cham], Switzerland : This Springer imprint is published by Springer Nature, [2017]

©2017

English

1 online resource (ix, 164 pages) : illustrations.

10.1007/978-3-319-52096-4 doi

QA274.25 .Z36 2017eb

519.2/2

Studying the fine properties of solutions to Stochastic (Partial) Differential Equations with reflection at a boundary, this book begins with a discussion of classical one-dimensional diffusions as the reflecting Brownian motion, devoting a chapter to Bessel processes, and moves on to function-valued solutions to SPDEs. Inspired by the classical stochastic calculus for diffusions, which is unfortunately still unavailable in infinite dimensions, it uses integration by parts formulae on convex sets of paths in order to describe the behaviour of the solutions at the boundary and the contact set between the solution and the obstacle. The text may serve as an introduction to space-time white noise, SPDEs and monotone gradient systems. Numerous open research problems in both classical and new topics are proposed.

Includes bibliographical references.

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Description based on online resource; title from digital title page (viewed on March 10, 2017).

Lecture notes in mathematics (Springer-Verlag) ; 2181.

Print version: 9783319520957

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