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Stochastic evolution systems : linear theory and applications to non-linear filtering

Author: B L Rozovskiĭ; Sergey V Lototsky
Publisher: Cham : Springer, 2018.
Series: Probability theory and stochastic modelling, v. 89.
Edition/Format:   eBook : Document : English : Second editionView all editions and formats
Summary:
Covering the general theory of linear stochastic evolution systems with unbounded drift and diffusion operators, this book sureys Ito's second-order parabolic equations and explores filtering problems for processes whose trajectories can be described by them.
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Rozovsky, Boris L.
Stochastic Evolution Systems.
Cham : Springer, ©2018
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: B L Rozovskiĭ; Sergey V Lototsky
ISBN: 9783319948935 3319948938
OCLC Number: 1056908285
Description: 1 online resource (340 pages).
Contents: Examples and auxiliary results --
Stochastic integration in a Hilbert space --
Linear stochastic evolution systems in Hilbert spaces --
Ito's second-order parabolic equations --
Ito's partial differential equations and diffusion processes --
Filtering, interpolation and extrapolation of diffusion processes --
Hypoellipticity of Ito's second order parabolic equations --
Chaos expansion for linear stochastic evolution systems.
Series Title: Probability theory and stochastic modelling, v. 89.
Responsibility: Boris L. Rozovsky, Sergey V. Lototsky.

Abstract:

Covering the general theory of linear stochastic evolution systems with unbounded drift and diffusion operators, this book sureys Ito's second-order parabolic equations and explores filtering  Read more...

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