Stochastic evolution systems. Linear theory and applications to non-linear filtering

DOI10.1007/978-3-319-94893-5zbMATH Open1434.60004OpenAlexW4252609867MaRDI QIDQ4583927FDOQ4583927

Authors: B. Rozovskii, S. V. Lototsky 

Publication date: 28 August 2018

Published in: Probability Theory and Stochastic Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-94893-5

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zbMATH Keywords

filteringhypoellipticitystochastic partial differential equationstochastic evolution equationstochastic integrationinversion of diffusion processesHoermander type condition

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Filtering in stochastic control theory (93E11) Applications of functional analysis in probability theory and statistics (46N30) Signal detection and filtering (aspects of stochastic processes) (60G35) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)

Cited In (36)

• Backward and forward filtering under the weak Hörmander condition
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• Statistical analysis of some evolution equations driven by space-only noise
• Numerical approximation of stochastic time-fractional diffusion
• Solving nonlinear filtering problems with correlated noise based on Hermite-Galerkin spectral method
• Bayesian estimations for diagonalizable bilinear SPDEs
• Asymptotic behavior of the forecast-assimilation process with unstable dynamics
• Sampled-Data Finite-Dimensional Observer-Based Control of 1D Stochastic Parabolic PDEs
• Time-varying feedback particle filter
• Delayed blow-up by transport noise
• Yosida approximations of stochastic differential equations in infinite dimensions and applications
• McKean-Vlasov SDE and SPDE with locally monotone coefficients
• Well Posedness and Limit Theorems for a Class of Stochastic Dyadic Models
• Regularization by transport noises for 3D MHD equations
• Freidlin-Wentzell type large deviation principle for multiscale locally monotone SPDEs
• Drift estimation for discretely sampled SPDEs
• Intrusive and non-intrusive chaos approximation for a two-dimensional steady state Navier-Stokes system with random forcing
• On partially observed jump diffusions. II: The filtering density
• Systematic approach to linear approximation of non-linear stochastic systems Part 2. Filtering hypothesis
• Markov processes, Feller semigroups and evolution equations.
• High mode transport noise improves vorticity blow-up control in 3D Navier-Stokes equations
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• An \(L_p\)-maximal regularity estimate of moments of solutions to second-order stochastic partial differential equations
• Splitting integrators for linear Vlasov equations with stochastic perturbations
• Freidlin-Wentzell's large deviation principle for stochastic integral evolution equations
• Global \(\boldsymbol{L}_{\boldsymbol{p}}\) Estimates for Kinetic Kolmogorov–Fokker–Planck Equations in Divergence Form
• Parameter estimation for discretely sampled stochastic heat equation driven by space-only noise
• Long Time Behavior of Stochastic Nonlocal Partial Differential Equations and Wong--Zakai Approximations
• High-Dimensional Nonlinear Diffusion Stochastic Processes
• Probabilistic weak solutions for nonlinear stochastic evolution problems involving pseudomonotone operators
• Noise based on vortex structures in 2D and 3D
• Lagrangian averaged stochastic advection by Lie transport for fluids
• Estimation of the Hurst and diffusion parameters in fractional stochastic heat equation
• Hyperbolic Anderson model with Lévy white noise: spatial ergodicity and fluctuation
• A branching particle system approximation for solving partially observed stochastic optimal control problems via stochastic maximum principle
• Cauchy problem of stochastic kinetic equations

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