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An introduction to stochastic filtering theory [[electronic resource] /] / Jie Xiong
| An introduction to stochastic filtering theory [[electronic resource] /] / Jie Xiong |
| Autore | Xiong Jie |
| Pubbl/distr/stampa | Oxford ; ; New York, : Oxford University Press, 2008 |
| Descrizione fisica | 1 online resource (285 p.) |
| Disciplina | 519.2/3 |
| Collana | Oxford graduate texts in mathematics |
| Soggetto topico |
Stochastic processes
Filters (Mathematics) Prediction theory |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-281-82550-6
9786611825508 0-19-155139-2 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Contents; 1 Introduction; 2 Brownian motion and martingales; 3 Stochastic integrals and Itô's formula; 4 Stochastic differential equations; 5 Filtering model and Kallianpur-Striebel formula; 6 Uniqueness of the solution for Zakai's equation; 7 Uniqueness of the solution for the filtering equation; 8 Numerical methods; 9 Linear filtering; 10 Stability of non-linear filtering; 11 Singular filtering; Bibliography; List of Notations; Index |
| Record Nr. | UNINA-9910453281003321 |
Xiong Jie
|
||
| Oxford ; ; New York, : Oxford University Press, 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
An introduction to stochastic filtering theory [[electronic resource] /] / Jie Xiong
| An introduction to stochastic filtering theory [[electronic resource] /] / Jie Xiong |
| Autore | Xiong Jie |
| Pubbl/distr/stampa | Oxford ; ; New York, : Oxford University Press, 2008 |
| Descrizione fisica | 1 online resource (285 p.) |
| Disciplina | 519.2/3 |
| Collana | Oxford graduate texts in mathematics |
| Soggetto topico |
Stochastic processes
Filters (Mathematics) Prediction theory |
| ISBN |
1-383-03593-8
1-281-82550-6 9786611825508 0-19-155139-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Contents; 1 Introduction; 2 Brownian motion and martingales; 3 Stochastic integrals and Itô's formula; 4 Stochastic differential equations; 5 Filtering model and Kallianpur-Striebel formula; 6 Uniqueness of the solution for Zakai's equation; 7 Uniqueness of the solution for the filtering equation; 8 Numerical methods; 9 Linear filtering; 10 Stability of non-linear filtering; 11 Singular filtering; Bibliography; List of Notations; Index |
| Record Nr. | UNINA-9910782482803321 |
|
Xiong Jie
|
||
| Oxford ; ; New York, : Oxford University Press, 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
An introduction to stochastic filtering theory [[electronic resource] /] / Jie Xiong
| An introduction to stochastic filtering theory [[electronic resource] /] / Jie Xiong |
| Autore | Xiong Jie |
| Pubbl/distr/stampa | Oxford ; ; New York, : Oxford University Press, 2008 |
| Descrizione fisica | 1 online resource (285 p.) |
| Disciplina | 519.2/3 |
| Collana | Oxford graduate texts in mathematics |
| Soggetto topico |
Stochastic processes
Filters (Mathematics) Prediction theory |
| ISBN |
1-383-03593-8
1-281-82550-6 9786611825508 0-19-155139-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Contents; 1 Introduction; 2 Brownian motion and martingales; 3 Stochastic integrals and Itô's formula; 4 Stochastic differential equations; 5 Filtering model and Kallianpur-Striebel formula; 6 Uniqueness of the solution for Zakai's equation; 7 Uniqueness of the solution for the filtering equation; 8 Numerical methods; 9 Linear filtering; 10 Stability of non-linear filtering; 11 Singular filtering; Bibliography; List of Notations; Index |
| Record Nr. | UNINA-9910825354503321 |
|
Xiong Jie
|
||
| Oxford ; ; New York, : Oxford University Press, 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Three classes of nonlinear stochastic partial differential equations [[electronic resource] /] / Jie Xiong
| Three classes of nonlinear stochastic partial differential equations [[electronic resource] /] / Jie Xiong |
| Autore | Xiong Jie |
| Pubbl/distr/stampa | Singapore, : World Scientific Pub. Co., 2013 |
| Descrizione fisica | 1 online resource (177 p.) |
| Disciplina | 515.353 |
| Soggetto topico | Stochastic partial differential equations |
| Soggetto genere / forma | Electronic books. |
| ISBN | 981-4452-36-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Preface; Contents; 1. Introduction to Superprocesses; 1.1 Branching particle system; 1.2 The log-Laplace equation; 1.3 The moment duality; 1.4 The SPDE for the density; 1.5 The SPDE for the distribution; 1.6 Historical remarks; 2. Superprocesses in Random Environments; 2.1 Introduction and main result; 2.2 The moment duality; 2.3 Conditional martingale problem; 2.4 Historical remarks; 3. Linear SPDE; 3.1 An equation on measure space; 3.2 A duality representation; 3.3 Two estimates; 3.4 Historical remarks; 4. Particle Representations for a Class of Nonlinear SPDEs; 4.1 Introduction
4.2 Solution for the system4.3 A nonlinear SPDE; 4.4 Historical remarks; 5. Stochastic Log-Laplace Equation; 5.1 Introduction; 5.2 Approximation and two estimates; 5.3 Existence and uniqueness; 5.4 Conditional log-Laplace transform; 5.5 Historical remarks; 6. SPDEs for Density Fields of the Superprocesses in Random Environment; 6.1 Introduction; 6.2 Derivation of SPDE; 6.3 A convolution representation; 6.4 An estimate in spatial increment; 6.5 Estimates in time increment; 6.6 Historical remarks; 7. Backward Doubly Stochastic Differential Equations; 7.1 Introduction and basic definitions 7.2 Ito-Pardoux-Peng formula7.3 Uniqueness of solution; 7.4 Historical remarks; 8. From SPDE to BSDE; 8.1 The SPDE for the distribution; 8.2 Existence of solution to SPDE; 8.3 From BSDE to SPDE; 8.4 Uniqueness for SPDE; 8.5 Historical remarks; Appendix Some Auxiliary Results; A.1 Martingale representation theorems; A.2 Weak convergence; A.3 Relation among strong existence, weak existence and pathwise uniqueness; Bibliography; Index |
| Record Nr. | UNINA-9910462811603321 |
|
Xiong Jie
|
||
| Singapore, : World Scientific Pub. Co., 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Three classes of nonlinear stochastic partial differential equations / / Jie Xiong, University of Macau, China & The University of Tennessee, Knoxville, USA
| Three classes of nonlinear stochastic partial differential equations / / Jie Xiong, University of Macau, China & The University of Tennessee, Knoxville, USA |
| Autore | Xiong Jie |
| Pubbl/distr/stampa | Singapore, : World Scientific Pub. Co., 2013 |
| Descrizione fisica | 1 online resource (xi, 164 pages) : illustrations |
| Disciplina | 515.353 |
| Collana | Gale eBooks |
| Soggetto topico |
Stochastic partial differential equations
Differential equations, Nonlinear |
| ISBN | 981-4452-36-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Preface; Contents; 1. Introduction to Superprocesses; 1.1 Branching particle system; 1.2 The log-Laplace equation; 1.3 The moment duality; 1.4 The SPDE for the density; 1.5 The SPDE for the distribution; 1.6 Historical remarks; 2. Superprocesses in Random Environments; 2.1 Introduction and main result; 2.2 The moment duality; 2.3 Conditional martingale problem; 2.4 Historical remarks; 3. Linear SPDE; 3.1 An equation on measure space; 3.2 A duality representation; 3.3 Two estimates; 3.4 Historical remarks; 4. Particle Representations for a Class of Nonlinear SPDEs; 4.1 Introduction
4.2 Solution for the system4.3 A nonlinear SPDE; 4.4 Historical remarks; 5. Stochastic Log-Laplace Equation; 5.1 Introduction; 5.2 Approximation and two estimates; 5.3 Existence and uniqueness; 5.4 Conditional log-Laplace transform; 5.5 Historical remarks; 6. SPDEs for Density Fields of the Superprocesses in Random Environment; 6.1 Introduction; 6.2 Derivation of SPDE; 6.3 A convolution representation; 6.4 An estimate in spatial increment; 6.5 Estimates in time increment; 6.6 Historical remarks; 7. Backward Doubly Stochastic Differential Equations; 7.1 Introduction and basic definitions 7.2 Ito-Pardoux-Peng formula7.3 Uniqueness of solution; 7.4 Historical remarks; 8. From SPDE to BSDE; 8.1 The SPDE for the distribution; 8.2 Existence of solution to SPDE; 8.3 From BSDE to SPDE; 8.4 Uniqueness for SPDE; 8.5 Historical remarks; Appendix Some Auxiliary Results; A.1 Martingale representation theorems; A.2 Weak convergence; A.3 Relation among strong existence, weak existence and pathwise uniqueness; Bibliography; Index |
| Record Nr. | UNINA-9910786869203321 |
|
Xiong Jie
|
||
| Singapore, : World Scientific Pub. Co., 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Three classes of nonlinear stochastic partial differential equations / / Jie Xiong, University of Macau, China & The University of Tennessee, Knoxville, USA
| Three classes of nonlinear stochastic partial differential equations / / Jie Xiong, University of Macau, China & The University of Tennessee, Knoxville, USA |
| Autore | Xiong Jie |
| Pubbl/distr/stampa | Singapore, : World Scientific Pub. Co., 2013 |
| Descrizione fisica | 1 online resource (xi, 164 pages) : illustrations |
| Disciplina | 515.353 |
| Collana | Gale eBooks |
| Soggetto topico |
Stochastic partial differential equations
Differential equations, Nonlinear |
| ISBN | 981-4452-36-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Preface; Contents; 1. Introduction to Superprocesses; 1.1 Branching particle system; 1.2 The log-Laplace equation; 1.3 The moment duality; 1.4 The SPDE for the density; 1.5 The SPDE for the distribution; 1.6 Historical remarks; 2. Superprocesses in Random Environments; 2.1 Introduction and main result; 2.2 The moment duality; 2.3 Conditional martingale problem; 2.4 Historical remarks; 3. Linear SPDE; 3.1 An equation on measure space; 3.2 A duality representation; 3.3 Two estimates; 3.4 Historical remarks; 4. Particle Representations for a Class of Nonlinear SPDEs; 4.1 Introduction
4.2 Solution for the system4.3 A nonlinear SPDE; 4.4 Historical remarks; 5. Stochastic Log-Laplace Equation; 5.1 Introduction; 5.2 Approximation and two estimates; 5.3 Existence and uniqueness; 5.4 Conditional log-Laplace transform; 5.5 Historical remarks; 6. SPDEs for Density Fields of the Superprocesses in Random Environment; 6.1 Introduction; 6.2 Derivation of SPDE; 6.3 A convolution representation; 6.4 An estimate in spatial increment; 6.5 Estimates in time increment; 6.6 Historical remarks; 7. Backward Doubly Stochastic Differential Equations; 7.1 Introduction and basic definitions 7.2 Ito-Pardoux-Peng formula7.3 Uniqueness of solution; 7.4 Historical remarks; 8. From SPDE to BSDE; 8.1 The SPDE for the distribution; 8.2 Existence of solution to SPDE; 8.3 From BSDE to SPDE; 8.4 Uniqueness for SPDE; 8.5 Historical remarks; Appendix Some Auxiliary Results; A.1 Martingale representation theorems; A.2 Weak convergence; A.3 Relation among strong existence, weak existence and pathwise uniqueness; Bibliography; Index |
| Record Nr. | UNINA-9910809486703321 |
|
Xiong Jie
|
||
| Singapore, : World Scientific Pub. Co., 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||