Stochastic Evolution Systems: Linear Theory and Applications to Non-linear Filtering
B.L. Rozovskii
2012년 12월 · Mathematics and Its Applications35권 · Springer Science & Business Media
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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.