Stochastic Analysis and Random Maps in Hilbert Space (el. knyga) (skaityta knyga) | knygos.lt

Aprašymas

This book is devoted to stochastic operators in Hilbert space. A number of models in modern probability theory apply the notion of a stochastic operator in explicit or latent form.
In this book, objects from the Gaussian case are considered. Therefore, it is useful to consider all random variables and elements as functionals from the Wiener process or its formal derivative, i.e. white noise.
The book consists of five chapters. The first chapter is devoted to stochastic calculus and its main goal is to prepare the tools for solving stochastic equations. In the second chapter the structure of stochastic equations, mainly the structure of Gaussian strong linear operators, is studied. In chapter 3 the definition of the action of the stochastic operator on random elements in considered. Chapter 4 deals with the mathematical models in which the notions of stochastic calculus arise and in the final chapter the equation with random operators is considered.