Stochastic Evolution Systems : Linear Theory and Applications to Non-Linear Filtering
Second Edition 2018
Book Details
Format
Paperback / Softback
Book Series
Probability Theory and Stochastic Modelling
ISBN-10
3030069338
ISBN-13
9783030069339
Edition
Second Edition 2018
Publisher
Springer Nature Switzerland AG
Imprint
Springer Nature Switzerland AG
Country of Manufacture
GB
Country of Publication
GB
Publication Date
Dec 20th, 2018
Print length
330 Pages
Weight
526 grams
Dimensions
15.50 x 23.50 x 2.10 cms
Product Classification:
Functional analysis & transformsFunctional analysis and transformsDifferential calculus & equationsDifferential calculus and equationsProbability & statisticsProbability and statisticsStochasticsMathematical / Computational / Theoretical physicsMathematical physicsElectrical engineering
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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.
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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