Stochastic Evolution Systems Linear Theory and Applications to Non Linear Filtering Probability Theory and Stochastic Modelling 89 by Boris L. Rozovsky 9783319948935 3319948938

Stochastic Evolution Systems Linear Theory and Applications to Non Linear Filtering Probability Theory and Stochastic Modelling 89 Boris L. Rozovsky – Ebook Instant Download/Delivery ISBN(s): 9783319948928,331994892X, 9783319948935, 3319948938

Product details:

• ISBN 10: 3319948938
• ISBN 13: 9783319948935
• Author: Boris L. Rozovsky 

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.

Table contents:

1. Examples and Auxiliary Results
2. Stochastic Integration in a Hilbert Space
3. Linear Stochastic Evolution Systems in Hilbert Spaces
4. Itô’s Second-Order Parabolic Equations
5. Itô’s Partial Differential Equations and Diffusion Processes
6. Filtering, Interpolation and Extrapolation of Diffusion Processes
7. Hypoellipticity of Itô’s Second Order Parabolic Equations
8. Chaos Expansion for Linear Stochastic Evolution Systems

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