PDE from a probability point of view
نویسنده
چکیده
These notes are for a course I gave while on sabbatical at UBC. It presupposes the reader is familiar with stochastic calculus; see the notes on my web page for Stochastic Calculus, for example. These notes for the most part are based on my book Diffusions and Elliptic Operators, Springer-Verlag, 1997. The topics covered are: stochastic differential equations, solving PDEs using probability, Harnack inequalities for nondivergence form elliptic operators, martingale problems, and divergence form elliptic operators.
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