Statistics of random processes
- Robert S. Liptser, Albert N. Shiryaev ; translated by A.B. Aries ; translation editor, Stephen S. Wilson.
- Uniform Title
- Statistika sluchaĭnykh prot͡sessov. English
- 2nd, rev. and expanded ed.
- Berlin ; New York : Springer, c2001.
- Physical description
- 2 v. ; 24 cm.
- Applications of mathematics 5-6.
Science Library (Li and Ma)
Library has: v.1-
|QA274 .L5713 2001 V.1||Unknown|
|QA274 .L5713 2001 V.2||Unknown|
- Includes bibliographical references and indexes.
- 1. General theory
- 2. Applications.
- Publisher's Summary
- "Written by two renowned experts in the field, the books under review contain a thorough and insightful treatment of the fundamental underpinnings of various aspects of stochastic processes as well as a wide range of applications. Providing clear exposition, deep mathematical results, and superb technical representation, they are masterpieces of the subject of stochastic analysis and nonlinear filtering...These books...will become classics." --SIAM REVIEW.
(source: Nielsen Book Data)9783540639282 20160610
- 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)9783540639299 20160615
- Supplemental links
Table of contents only
- Publication date
- Applications of mathematics, 0172-4568 ; 5-6
- 3540639292 (v. 1 : acid-free paper)
- 9783540639299 (v. 1 : acid-free paper)
- 3540639284 (v. 2 : acid-free paper)
- 9783540639282 (v. 2 : acid-free paper)
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