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Stochastic Evolution Systems: Linear Theory and Applications to Non-Linear Filtering
Boris L. Rozovsky
(Author)
·
Sergey V. Lototsky
(Author)
·
Springer
· Paperback
Stochastic Evolution Systems: Linear Theory and Applications to Non-Linear Filtering - Rozovsky, Boris L. ; Lototsky, Sergey V.
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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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All books in our catalog are Original.
The book is written in English.
The binding of this edition is Paperback.
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