Stochastic Evolution Systems: Linear Theory and Applications to Non-Linear Filtering: 89 - Brossura

Rozovsky, Boris L.

Brossura

ISBN 10: 3030069338 ISBN 13: 9783030069339

Casa editrice: Springer, 2018

Riassunto

Covering the general theory of linear stochastic evolution systems with unbounded drift and diffusion operators, this book sureys Ito's second-order parabolic equations and explores filtering problems for processes whose trajectories can be described by them.

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Informazioni sull?autore

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.

Dalla quarta di copertina

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.

Dettagli dell'edizione

• Editore: Springer
• Data di pubblicazione: 2018
• Lingua: Inglese
• ISBN 10: 3030069338
• ISBN 13: 9783030069339
• Rilegatura: Copertina flessibile
• Numero di pagine: 348
• Contatto del produttore: ProductSafety@springernature.com; ProductSafety@springernature.com; ; Poststr. 9; Darmstadt; 64293; Germania