Stochastic Evolution Systems : Linear Theory and Applications to Non-Linear Filtering

Boris L. Rozovsky

ISBN 10: 331994892X / ISBN 13: 9783319948928

Published by Springer, Palgrave Macmillan, 2018

About this Item

Druck auf Anfrage Neuware - Printed after ordering - 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.

Seller Inventory # 9783319948928

Bibliographic Details

• Title: Stochastic Evolution Systems : Linear Theory and Applications to Non-Linear Filtering
• Publisher: Springer, Palgrave Macmillan
• Publication Date: 2018
• Language: English
• ISBN 10: 331994892X
• ISBN 13: 9783319948928
• Binding: Buch
• Edition: 2nd Edition
• Condition: Neu
• Dimensions: 241W x 160H x 25D millimeters 241 millimeters width by 160 millimeters height by 25 millimeters depth
• Weight: 688 grams

About this title

Synopsis

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.

About the Author

Boris Rozovsky earned a Master’s degree in Probability and Statistics, followed by a PhD in Physical and Mathematical Sciences, both from the Moscow State (Lomonosov) University. He was Professor of Mathematics and Director of the Center for Applied Mathematical Sciences at the University of Southern California. Currently, he is the Ford Foundation Professor of Applied Mathematics at Brown University.

Sergey Lototsky earned a Master’s degree in Physics in 1992 from the Moscow Institute of Physics and Technology, followed by a PhD in Applied Mathematics in 1996 from the University of Southern California. After a year-long post-doc at the Institute for Mathematics and its Applications and a three-year term as a Moore Instructor at MIT, he returned to the department of Mathematics at USC as a faculty member in 2000. He specializes in stochastic analysis, with emphasis on stochastic differential equation. He supervised more than 10 PhD students and had visiting positions at the Mittag-Leffler Institute in Sweden and at several universities in Israel and Italy.