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商品詳細
Stochastic Evolution Systems : Linear Theory and Applications to Non-Linear Filtering. 2nd ed. 2018.
・ISBN 978-3-319-94892-8 hard EUR 119.99
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| 著者・編者 | Rozovsky, Boris L. / Lototsky, Sergey V., |
|---|---|
| シリーズ | Probability Theory and Stochastic Modelling |
| 出版社 | (Springer International Publishing AG, SZ) |
| 出版年月 | 2018 |
| ページ数 | 330 pp. |
| 言語 | ENG |
| ニュース番号 | ＜M25-3097＞ |
解説
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.