Partial Differential Equations for Probabilists

This book deals with equations that have played a central role in the interplay between partial differential equations and probability theory. Most of this material has been treated elsewhere, but it is rarely presented in a manner that makes it readily accessible to people whose background is probability theory. Many results are given new proofs designed for readers with limited expertise in analysis. The author covers the theory of linear, second order partial differential equations of parabolic and elliptic type. Many of the techniques have antecedents in probability theory, although the book also covers a few purely analytic techniques. In particular, a chapter is devoted to the DeGiorgi-Moser-Nash estimates and the concluding chapter gives an introduction to the theory of pseudodifferential operators and their application to hypoellipticity, including the famous theorem of Lars H rmander.

Author: Daniel W. Stroock
Publisher: Cambridge University Press
Published: 04/28/2008
Pages: 232
Binding Type: Hardcover
Weight: 1.13lbs
Size: 9.00h x 6.00w x 0.69d
ISBN: 9780521886512

About the Author
Stroock, Daniel W.: - Dr Daniel W. Stroock is the Simons Professor of Mathematics Emeritus at the Massachusetts Institute of Technology. He has published numerous articles and is the author of six books, most recently Probability Theory: An Analytic View, 2nd edition (2010).

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