Stochastic Evolution Systems: Linear The
β B. L. Rozovskii (auth.)
π Library
π
1990
π Springer Netherlands
π English
β¦ LIBER β¦
π
Stochastic Evolution Systems: Linear Theory and Applications to Non-Linear Filtering
β Scribed by Boris L. Rozovsky, Sergey V. Lototsky
- Publisher
- Springer
- Year
- 2018
- Tongue
- English
- Leaves
- 340
- Series
- Probability Theory and Stochastic Modelling, Vol. 89
- Edition
- 2
- Category
- Library
β¬ Acquire This Volume
No coin nor oath required. For personal study only.
β¦ Synopsis
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.
β¦ Table of Contents
Front Matter ....Pages i-xvi
Examples and Auxiliary Results (Boris L. Rozovsky, Sergey V. Lototsky)....Pages 1-37
Stochastic Integration in a Hilbert Space (Boris L. Rozovsky, Sergey V. Lototsky)....Pages 39-84
Linear Stochastic Evolution Systems in Hilbert Spaces (Boris L. Rozovsky, Sergey V. Lototsky)....Pages 85-122
ItΓ΄βs Second-Order Parabolic Equations (Boris L. Rozovsky, Sergey V. Lototsky)....Pages 123-170
ItΓ΄βs Partial Differential Equations and Diffusion Processes (Boris L. Rozovsky, Sergey V. Lototsky)....Pages 171-212
Filtering, Interpolation and Extrapolation of Diffusion Processes (Boris L. Rozovsky, Sergey V. Lototsky)....Pages 213-241
Hypoellipticity of ItΓ΄βs Second Order Parabolic Equations (Boris L. Rozovsky, Sergey V. Lototsky)....Pages 243-278
Chaos Expansion for Linear Stochastic Evolution Systems (Boris L. Rozovsky, Sergey V. Lototsky)....Pages 279-314
Back Matter ....Pages 315-330
β¦ Subjects
Stochastic Analysis
π SIMILAR VOLUMES
Stochastic Evolution Systems: Linear The
β Boris L. Rozovsky, Sergey V. Lototsky
π Library
π
2018
π Springer
π English
<p><span>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.</span></p><p><span>The emphasis lies on second-order stochastic parabolic
Linear and Non-Linear System Theory
β Thyagarajan, T.; Kalpana, D.;
π Library
π
2020
π Taylor & Francis Group
π English
Linear and Non-Linear System Theory
β T Thyagarajan, D Kalpana
π Library
π
2021
π CRC
π English
<p><span>Linear and Non-Linear System Theory</span><span> focuses on the basics of linear and non-linear systems, optimal control and optimal estimation with an objective to understand the basics of state space approach linear and non-linear systems and its analysis thereof. Divided into eight chapt
Linear and Non-Linear System Theory
β T Thyagarajan, D Kalpana
π Library
π
2020
π CRC Press
π English
<p><span>Linear and Non-Linear System Theory</span><span> focuses on the basics of linear and non-linear systems, optimal control and optimal estimation with an objective to understand the basics of state space approach linear and non-linear systems and its analysis thereof. Divided into eight chapt
Linear Systems: Non-Fragile Control and
β Guang-Hong Yang, Xiang-Gui Guo, Wei-Wei Che, Wei Guan
π Library
π
2013
π CRC Press
π English
Linear Systems: Non-Fragile Control and Filtering presents the latest research results and a systematic approach to designing non-fragile controllers and filters for linear systems. The authors combine the algebraic Riccati technique, the linear matrix inequality (LMI) technique, and the sensitivity