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Stochastic evolution systemslinear t...

Lototsky, Sergey V.

Stochastic evolution systemslinear theory and applications to non-linear filtering /

Record Type:	Electronic resources : Monograph/item
Title/Author:	Stochastic evolution systemsby 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.
Published:	Cham :Springer International Publishing :2018.
Description:	xvi, 330 p. :ill., digital ;24 cm.
Contained By:	Springer eBooks
Subject:	Stochastic partial differential equations.
Online resource:	https://doi.org/10.1007/978-3-319-94893-5
ISBN:	9783319948935$q(electronic bk.)

Stochastic evolution systemslinear 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. - Cham :Springer International Publishing :2018. - xvi, 330 p. :ill., digital ;24 cm. - Probability theory and stochastic modelling,v.892199-3130 ;. - Probability theory and stochastic modelling ;v.70..

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$q(electronic bk.)

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

199002
Stochastic partial differential equations.

LC Class. No.: QA274.25 / .R696 2018

Dewey Class. No.: 519.22

Stochastic evolution systemslinear theory and applications to non-linear filtering /
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505 0 $a 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.
520 $a 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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650 2 4 $a Electrical Engineering. $3 338706
650 2 4 $a Theoretical, Mathematical and Computational Physics. $3 376743
700 1 $a Lototsky, Sergey V. $3 405229
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