About this book
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.
- DOI https://doi.org/10.1007/978-3-319-94893-5
- Copyright Information Springer Nature Switzerland AG 2018
- Publisher Name Springer, Cham
- eBook Packages Mathematics and Statistics
- Print ISBN 978-3-319-94892-8
- Online ISBN 978-3-319-94893-5
- Series Print ISSN 2199-3130
- Series Online ISSN 2199-3149
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