Read While You Wait - Get immediate ebook access, if available*, when you order a print book

Probability Theory and Stochastic Modelling

Stochastic Evolution Systems

Linear Theory and Applications to Non-Linear Filtering

Authors: Rozovsky, Boris L., Lototsky, Sergey

Free Preview
  • 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
see more benefits

Buy this book

eBook $59.99
$89.00 (listprice)
price for USA in USD (gross)
valid through July 31, 2020
  • ISBN 978-3-319-94893-5
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $79.99
$119.99 (listprice)
price for USA in USD
valid through July 31, 2020
  • ISBN 978-3-319-94892-8
  • Free shipping for individuals worldwide
  • Immediate ebook access, if available*, with your print order
  • Usually dispatched within 3 to 5 business days.
Softcover $79.99
$119.99 (listprice)
price for USA in USD
valid through July 31, 2020
  • ISBN 978-3-030-06933-9
  • Free shipping for individuals worldwide
  • Immediate ebook access, if available*, with your print order
  • Usually dispatched within 3 to 5 business days.
About this book

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 authors

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.

Reviews

“A remarkable quality of this monograph is that the results are stated and proved with a great level of generality and rigor. The reader will find many interesting results, as well as lots of long and technical proofs … .” (Charles-Edouard Bréhier, Mathematical Reviews, October, 2019)

Table of contents (8 chapters)

Table of contents (8 chapters)

Buy this book

eBook $59.99
$89.00 (listprice)
price for USA in USD (gross)
valid through July 31, 2020
  • ISBN 978-3-319-94893-5
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $79.99
$119.99 (listprice)
price for USA in USD
valid through July 31, 2020
  • ISBN 978-3-319-94892-8
  • Free shipping for individuals worldwide
  • Immediate ebook access, if available*, with your print order
  • Usually dispatched within 3 to 5 business days.
Softcover $79.99
$119.99 (listprice)
price for USA in USD
valid through July 31, 2020
  • ISBN 978-3-030-06933-9
  • Free shipping for individuals worldwide
  • Immediate ebook access, if available*, with your print order
  • Usually dispatched within 3 to 5 business days.
Loading...

Recommended for you

Loading...

Bibliographic Information

Bibliographic Information
Book Title
Stochastic Evolution Systems
Book Subtitle
Linear Theory and Applications to Non-Linear Filtering
Authors
Series Title
Probability Theory and Stochastic Modelling
Series Volume
89
Copyright
2018
Publisher
Springer International Publishing
Copyright Holder
Springer Nature Switzerland AG
eBook ISBN
978-3-319-94893-5
DOI
10.1007/978-3-319-94893-5
Hardcover ISBN
978-3-319-94892-8
Softcover ISBN
978-3-030-06933-9
Series ISSN
2199-3130
Edition Number
2
Number of Pages
XVI, 330
Number of Illustrations
2 b/w illustrations
Additional Information
1st ed. translated from Russian by A. Yarkho, published under Rozovskii, B.L. in the series Mathematics and Its Applications vol. 35, Kluwer Academic Publishers. Original Russian language edition published by Nauka Publishers, Moscow, 1983
Topics

*immediately available upon purchase as print book shipments may be delayed due to the COVID-19 crisis. ebook access is temporary and does not include ownership of the ebook. Only valid for books with an ebook version. Springer Reference Works are not included.