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Robert S. Liptser, Albert N. Shiryaev

Statistics of Random Processes

Name: Statistics of Random Processes
Author: Robert S. Liptser

I. General Theory

Paperback Engels 2010 2e druk 9783642083662

132,99

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Samenvatting

These volumes cover non-linear filtering (prediction and smoothing) theory and its applications to the problem of optimal estimation, control with incomplete data, information theory, and sequential testing of hypothesis. Also presented is the theory of martingales, of interest to those who deal with problems in financial mathematics. These editions include new material, expanded chapters, and comments on recent progress in the field.

Specificaties

ISBN13:9783642083662

Taal:Engels

Bindwijze:paperback

Aantal pagina's:427

Uitgever:Springer Berlin Heidelberg

Druk:2

Serie:Stochastic Modelling and Applied Probability

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Inhoudsopgave

1. Essentials of Probability Theory and Mathematical Statistics.- 2. Martingales and Related Processes: Discrete Time.- 3. Martingales and Related Processes: Continuous Time.- 4. The Wiener Process, the Stochastic Integral over the Wiener Process, and Stochastic Differential Equations.- 5. Square Integrable Martingales and Structure of the Functionals on a Wiener Process.- 6. Nonnegative Supermartingales and Martingales, and the Girsanov Theorem.- 7. Absolute Continuity of Measures corresponding to the Itô Processes and Processes of the Diffusion Type.- 8. General Equations of Optimal Nonlinear Filtering, Interpolation and Extrapolation of Partially Observable Random Processes.- 9. Optimal Filtering, Interpolation and Extrapolation of Markov Processes with a Countable Number of States.- 10. Optimal Linear Nonstationary Filtering.

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