Stochastic Evolution Systems : Linear Theory and Applications to Non-Linear Filtering Paperback / softback
by Boris L. Rozovsky, Sergey V. Lototsky
Part of the Probability Theory and Stochastic Modelling series
Paperback / softback
- Information
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.
Information
-
Out of StockMore expected soonContact us for further information
- Format:Paperback / softback
- Pages:330 pages, 2 Illustrations, black and white; XVI, 330 p. 2 illus.
- Publisher:Springer Nature Switzerland AG
- Publication Date:20/12/2018
- Category:
- ISBN:9783030069339
Other Formats
- Hardback from £39.32
- EPUB from £27.19
Information
-
Out of StockMore expected soonContact us for further information
- Format:Paperback / softback
- Pages:330 pages, 2 Illustrations, black and white; XVI, 330 p. 2 illus.
- Publisher:Springer Nature Switzerland AG
- Publication Date:20/12/2018
- Category:
- ISBN:9783030069339
