Boris L Rozovsky

(Author)

Stochastic Evolution Systems: Linear Theory and Applications to Non-Linear Filtering (2018)Hardcover - 2018, 15 October 2018

Stochastic Evolution Systems: Linear Theory and Applications to Non-Linear Filtering (2018)
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Part of Series
Probability Theory and Stochastic Modelling
Print Length
330 pages
Language
English
Publisher
Springer
Date Published
15 Oct 2018
ISBN-10
331994892X
ISBN-13
9783319948928

Description

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.

Product Details

Authors:
Boris L RozovskySergey V Lototsky
Book Edition:
2018
Book Format:
Hardcover
Country of Origin:
NL
Date Published:
15 October 2018
Dimensions:
23.39 x 15.6 x 2.06 cm
ISBN-10:
331994892X
ISBN-13:
9783319948928
Language:
English
Location:
Cham
Pages:
330
Publisher:
Weight:
662.24 gm

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