Statistics of random processes
- Library has: 2 v.
QA274 .L5713 2001 V.1
QA274 .L5713 2001 V.2
- Shiri͡aev, Alʹbert Nikolaevich.
- Includes bibliographical references and indexes.
- 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 Ito 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.
- (source: Nielsen Book Data)
- Publisher's Summary
- 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.
(source: Nielsen Book Data)
- Supplemental links
Table of contents only
- Publication date
- Robert S. Liptser, Albert N. Shiryaev ; translated by A.B. Aries ; translation editor, Stephen S. Wilson.
- Applications of mathematics, 0172-4568 ; 5-6