Markov Processes, Feller Semigroups and Evolution Equations by Jan A. van Casteren
English | 2010 | ISBN: 9814322180 | 824 pages | PDF | 6,9 MB
The book provides a systemic treatment of time-dependent strong Markov processes with values in a Polish space. It describes its generators and the link with stochastic differential equations in infinite dimensions. In a unifying way, where the square gradient operator is employed, new results for backward stochastic differential equations and long-time behavior are discussed in depth.