Statistics of Random Processes: I. General Theory - Softcover

Liptser, Robert S.; Shiryaev, Albert N.

Softcover

ISBN 10: 3662130440 ISBN 13: 9783662130445

Publisher: Springer, 2014

Synopsis

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.

Edition details

• Publisher: Springer
• Publication date: 2014
• Language: English
• ISBN 10: 3662130440
• ISBN 13: 9783662130445
• Binding: Paperback
• Number of pages: 448