Stochastic Evolution Systems
Linear Theory and Applications to Non-linear Filtering
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Beschreibung
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.
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.
Autor*in
B.L. Rozovskii
Themen in »Stochastic Evolution Systems«
Boundary value problem Markov property Martingale Sobolev space diffusion process filtering problem local martingale partial differential equation