Stochastic Differential Equations And Applications

This book presents concepts of theoretical physics with engineering applications. The topics are of an intense mathematical nature involving tools like probability and random processes, ordinary and partial differential equations, linear algebra and infinite-dimensional operator theory, perturbation theory, stochastic differential equations, and Riemannian geometry.

by Wei Liu (Author), Michael Röckner (Author)
A concise and as self-contained as possible introduction to the ‘variational approach’ of SPDEs
Provides a very detailed introduction to stochastic integration on Hilbert spaces
Includes a complete proof of the finite-dimensional case using the Euler approximation