Name: Stochastic Evolution Systems: Linear Theory and Applications to Non-Linear Filtering
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Author: Rozovsky, Boris L. ; Lototsky, Sergey V.
ISBN: 9783030069339

portada Stochastic Evolution Systems: Linear Theory and Applications to Non-Linear Filtering

Stochastic Evolution Systems: Linear Theory and Applications to Non-Linear Filtering

Type

Physical Book

Author

Boris L. Rozovsky

Sergey V. Lototsky

Publisher

Springer

Language

English

Pages

330

Format

Paperback

Dimensions

23.4 x 15.6 x 1.8 cm

Weight

0.49 kg.

ISBN13

9783030069339

Edition No.

0002

Synopsis "Stochastic Evolution Systems: Linear Theory and Applications to Non-Linear Filtering"

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.

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Stochastic Evolution Systems: Linear Theory and Applications to Non-Linear Filtering - Rozovsky, Boris L. ; Lototsky, Sergey V.

Synopsis "Stochastic Evolution Systems: Linear Theory and Applications to Non-Linear Filtering"

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