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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.
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.
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.
Provides a self-contained development of the theory of generalized solutions of stochastic parabolic equations
Explores equations of optimal non-linear filtering, interpolation, and extrapolation of diffusion processes in detail
Establishes various connections between diffusions and linear stochastic parabolic equations
| Erscheinungsjahr: | 2018 |
|---|---|
| Fachbereich: | Wahrscheinlichkeitstheorie |
| Genre: | Mathematik |
| Rubrik: | Naturwissenschaften & Technik |
| Medium: | Buch |
| Seiten: | 348 |
| Reihe: | Probability Theory and Stochastic Modelling |
| Inhalt: |
xvi
330 S. 2 s/w Illustr. 330 p. 2 illus. |
| ISBN-13: | 9783319948928 |
| ISBN-10: | 331994892X |
| Sprache: | Englisch |
| Herstellernummer: | 978-3-319-94892-8 |
| Ausstattung / Beilage: | HC runder Rücken kaschiert |
| Einband: | Gebunden |
| Autor: |
Lototsky, Sergey V.
Rozovsky, Boris L. |
| Auflage: | 2nd ed. 2018 |
| Hersteller: |
Springer International Publishing
Probability Theory and Stochastic Modelling |
| Maße: | 241 x 160 x 25 mm |
| Von/Mit: | Sergey V. Lototsky (u. a.) |
| Erscheinungsdatum: | 15.10.2018 |
| Gewicht: | 0,688 kg |
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.
Provides a self-contained development of the theory of generalized solutions of stochastic parabolic equations
Explores equations of optimal non-linear filtering, interpolation, and extrapolation of diffusion processes in detail
Establishes various connections between diffusions and linear stochastic parabolic equations
| Erscheinungsjahr: | 2018 |
|---|---|
| Fachbereich: | Wahrscheinlichkeitstheorie |
| Genre: | Mathematik |
| Rubrik: | Naturwissenschaften & Technik |
| Medium: | Buch |
| Seiten: | 348 |
| Reihe: | Probability Theory and Stochastic Modelling |
| Inhalt: |
xvi
330 S. 2 s/w Illustr. 330 p. 2 illus. |
| ISBN-13: | 9783319948928 |
| ISBN-10: | 331994892X |
| Sprache: | Englisch |
| Herstellernummer: | 978-3-319-94892-8 |
| Ausstattung / Beilage: | HC runder Rücken kaschiert |
| Einband: | Gebunden |
| Autor: |
Lototsky, Sergey V.
Rozovsky, Boris L. |
| Auflage: | 2nd ed. 2018 |
| Hersteller: |
Springer International Publishing
Probability Theory and Stochastic Modelling |
| Maße: | 241 x 160 x 25 mm |
| Von/Mit: | Sergey V. Lototsky (u. a.) |
| Erscheinungsdatum: | 15.10.2018 |
| Gewicht: | 0,688 kg |
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