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Stochastic Evolution Systems = Linear Theory and Applications to Non-Linear Filtering /

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Stochastic Evolution Systems/ by Boris L. Rozovsky, Sergey V. Lototsky.
Reminder of title:	Linear Theory and Applications to Non-Linear Filtering /
Author:	Rozovsky, Boris L.
other author:	Lototsky, Sergey V.
Description:	XVI, 330 p. 2 illus.online resource. :
Contained By:	Springer Nature eBook
Subject:	Probabilities. -
Online resource:	https://doi.org/10.1007/978-3-319-94893-5
ISBN:	9783319948935

Stochastic Evolution Systems = Linear Theory and Applications to Non-Linear Filtering /
Rozovsky, Boris L.

Stochastic Evolution SystemsLinear Theory and Applications to Non-Linear Filtering /[electronic resource] :by Boris L. Rozovsky, Sergey V. Lototsky. - 2nd ed. 2018. - XVI, 330 p. 2 illus.online resource. - Probability Theory and Stochastic Modelling,892199-3130 ;. - Probability Theory and Stochastic Modelling,76.

1 Examples and Auxiliary Results -- 2 Stochastic Integration in a Hilbert Space -- 3 Linear Stochastic Evolution Systems in Hilbert Spaces -- 4 Ito's Second Order Parabolic Equations -- 5 Ito's Partial Differential Equations and Diffusion Processes -- 6 Filtering, Interpolation and Extrapolation of Diffusion Processes -- 7 Hypoellipticity of Ito's Second Order Parabolic Equations -- 8 Chaos Expansion for Linear Stochastic Evolution Systems -- Notes -- References -- Index.

This monograph, now in a thoroughly revised second edition, develops the theory of stochastic calculus in Hilbert spaces and applies the results to the study of generalized solutions of stochastic parabolic equations. The emphasis lies on second-order stochastic parabolic equations and their connection to random dynamical systems. The authors further explore applications to the theory of optimal non-linear filtering, prediction, and smoothing of partially observed diffusion processes. The new edition now also includes a chapter on chaos expansion for linear stochastic evolution systems. This book will appeal to anyone working in disciplines that require tools from stochastic analysis and PDEs, including pure mathematics, financial mathematics, engineering and physics.

ISBN: 9783319948935

Standard No.: 10.1007/978-3-319-94893-5doiSubjects--Topical Terms:

527847
Probabilities.

LC Class. No.: QA273.A1-274.9

Dewey Class. No.: 519.2

Stochastic Evolution Systems = Linear Theory and Applications to Non-Linear Filtering /
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