Stochastic Evolution Systems: Linear Theory and Applications to Non-linear Filtering

✍ Scribed by B. L. Rozovskii (auth.)

Publisher: Springer Netherlands
Year: 1990
Tongue: English
Leaves: 332
Series: Mathematics and Its Applications (Soviet Series) 35
Edition: 1
Category: Library

No coin nor oath required. For personal study only.

✦ Table of Contents

Front Matter....Pages i-xviii
Examples and Auxiliary Results....Pages 1-38
Stochastic Integration in a Hilbert Space....Pages 39-85
Linear Stochastic Evolution Systems in Hilbert Spaces....Pages 86-124
Ito’s Second Order Parabolic Equations....Pages 125-174
Ito’s Partial Differenital Equations and Diffusion Processes....Pages 175-219
Filtering, Interpolation and Extrapolation of Diffusion Processes....Pages 220-250
Hypoellipticity of Ito’s Second Order Parabolic Equations....Pages 251-293
Back Matter....Pages 301-315

✦ Subjects

Probability Theory and Stochastic Processes;Partial Differential Equations;Electrical Engineering;Theoretical, Mathematical and Computational Physics

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