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

B.L. Rozovskii

Dec 2012 · Mathematics and Its Applications Book 35 · Springer Science & Business Media

Ebook

315

Pages

About this ebook

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.

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