Random Obstacle Problems École d'Été de Probabilités de Saint-Flour XLV - 2015
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-value...
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| Format: | eBook |
| Language: | English |
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Cham
Springer International Publishing
2017, 2017
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| Edition: | 1st ed. 2017 |
| Series: | École d'Été de Probabilités de Saint-Flour
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| Collection: | Springer eBooks 2005- - Collection details see MPG.ReNa |
Table of Contents:
- 1 Introduction
- 2 The reflecting Brownian motion
- 3 Bessel processes
- 4 The stochastic heat equation
- 5 Obstacle problems
- 6 Integration by Parts Formulae
- 7 The contact set
- References