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Stochastic Evolution Systems - Linear Theory and Applications to Non-Linear Filtering (Hardcover, 2nd ed. 2018)
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Stochastic Evolution Systems - Linear Theory and Applications to Non-Linear Filtering (Hardcover, 2nd ed. 2018)
Series: Probability Theory and Stochastic Modelling, 89
Expected to ship within 12 - 17 working days
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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. 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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