Stochastic Evolution Systems
Title | Stochastic Evolution Systems PDF eBook |
Author | Boris L. Rozovsky |
Publisher | Springer |
Total Pages | 330 |
Release | 2018-10-03 |
Genre | Mathematics |
ISBN | 3319948938 |
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.
Stochastic Evolution Systems
Title | Stochastic Evolution Systems PDF eBook |
Author | B.L. Rozovskii |
Publisher | Springer |
Total Pages | 315 |
Release | 2012-09-28 |
Genre | Mathematics |
ISBN | 9789401057035 |
Covering the general theory of linear stochastic evolution systems with unbounded drift and diffusion operators, this book sureys Ito's second-order parabolic equations and explores filtering problems for processes whose trajectories can be described by them.
Stochastic Evolution Systems
Title | Stochastic Evolution Systems PDF eBook |
Author | B.L. Rozovskii |
Publisher | Springer |
Total Pages | 315 |
Release | 1990-10-31 |
Genre | Mathematics |
ISBN | 9780792300373 |
Covering the general theory of linear stochastic evolution systems with unbounded drift and diffusion operators, this book sureys Ito's second-order parabolic equations and explores filtering problems for processes whose trajectories can be described by them.
Evolution Systems with Stochastic Perturbations
Title | Evolution Systems with Stochastic Perturbations PDF eBook |
Author | Bogdan Iftimie |
Publisher | |
Total Pages | 131 |
Release | 2006 |
Genre | |
ISBN | 9789737550316 |
Approximate Controllability of Backward Stochastic Evolution Systems in Hilbert Spaces
Title | Approximate Controllability of Backward Stochastic Evolution Systems in Hilbert Spaces PDF eBook |
Author | Mohammed M. A. Matar |
Publisher | |
Total Pages | 76 |
Release | 2006 |
Genre | Hilbert space |
ISBN |
Stochastic Models of Systems
Title | Stochastic Models of Systems PDF eBook |
Author | Vladimir S. Korolyuk |
Publisher | Springer Science & Business Media |
Total Pages | 195 |
Release | 2012-12-06 |
Genre | Mathematics |
ISBN | 940114625X |
In this monograph stochastic models of systems analysis are discussed. It covers many aspects and different stages from the construction of mathematical models of real systems, through mathematical analysis of models based on simplification methods, to the interpretation of real stochastic systems. The stochastic models described here share the property that their evolutionary aspects develop under the influence of random factors. It has been assumed that the evolution takes place in a random medium, i.e. unilateral interaction between the system and the medium. As only Markovian models of random medium are considered in this book, the stochastic models described here are determined by two processes, a switching process describing the evolution of the systems and a switching process describing the changes of the random medium. Audience: This book will be of interest to postgraduate students and researchers whose work involves probability theory, stochastic processes, mathematical systems theory, ordinary differential equations, operator theory, or mathematical modelling and industrial mathematics.
Evolution Systems of Measures for Non-autonomous Stochastic Differential Equations with Lévy Noise
Title | Evolution Systems of Measures for Non-autonomous Stochastic Differential Equations with Lévy Noise PDF eBook |
Author | Robert Wooster |
Publisher | |
Total Pages | 0 |
Release | 2009 |
Genre | |
ISBN |