Stochastic Evolution Systems

Linear Theory and Applications to Non-Linear Filtering

Nonfiction, Science & Nature, Mathematics, Differential Equations, Statistics
Cover of the book Stochastic Evolution Systems by Boris L. Rozovsky, Sergey V. Lototsky, Springer International Publishing
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Author: Boris L. Rozovsky, Sergey V. Lototsky ISBN: 9783319948935
Publisher: Springer International Publishing Publication: October 3, 2018
Imprint: Springer Language: English
Author: Boris L. Rozovsky, Sergey V. Lototsky
ISBN: 9783319948935
Publisher: Springer International Publishing
Publication: October 3, 2018
Imprint: Springer
Language: English

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.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

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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