Stochastic Evolution Systems

Stochastic Evolution Systems

Linear Theory and Applications to Non-Linear Filtering

Lototsky, Sergey V.; Rozovsky, Boris L.

Springer International Publishing AG

10/2018

330

Dura

Inglês

9783319948928

15 a 20 dias

688

Descrição não disponível.
1 Examples and Auxiliary Results.- 2 Stochastic Integration in a Hilbert Space.- 3 Linear Stochastic Evolution Systems in Hilbert Spaces.- 4 Ito's Second Order Parabolic Equations.- 5 Ito's Partial Differential Equations and Diffusion Processes.- 6 Filtering, Interpolation and Extrapolation of Diffusion Processes.- 7 Hypoellipticity of Ito's Second Order Parabolic Equations.- 8 Chaos Expansion for Linear Stochastic Evolution Systems.- Notes.- References.- Index.
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MSC (2010): 60H15, 35R60;Boundary value problem;Markov property;Martingale;Sobolev space;diffusion process;filtering problem;local martingale;partial differential equation;backward diffusion equation;chaos solution of parabolic equations;interpolation;extrapolation;Hormander's condition in filtering;stochastic characteristics;stochastic integration in Hilbert space;partial differential equations