Stochastic Evolution Systems: Linear Theory and Applications to Non-Linear Filtering (Probability Theory and Stochastic Modelling, 89)
by Boris L. Rozovsky, Sergey V. Lototsky
Develops the linear theory of stochastic evolution systems and shows how it underpins modern approaches to nonlinear filtering in probability and stochastic modelling.
About This Book
This monograph presents the linear theory of stochastic evolution systems and explores its use in nonlinear filtering problems.
Core results cover existence, uniqueness, and regularity properties for solutions of stochastic partial differential equations.
Applications focus on filtering theory, demonstrating how abstract evolution equations yield practical filtering algorithms.
The text is intended for researchers and advanced graduate students in probability and stochastic analysis.
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