Statistics of Random Processes: I. General Theory: 5 (Stochastic Modelling and Applied Probability, 5) - Tapa dura

Shiryaev, Albert N.; Liptser, Robert

 
9783540639299: Statistics of Random Processes: I. General Theory: 5 (Stochastic Modelling and Applied Probability, 5)
Tapa dura
ISBN 10: 3540639292 ISBN 13: 9783540639299
Editorial: Springer, 2000

Sinopsis

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.

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De la contraportada

The subject of these two volumes is non-linear filtering (prediction and smoothing) theory and its application to the problem of optimal estimation, control with incomplete data, information theory, and sequential testing of hypothesis. The required mathematical background is presented in the first volume: the theory of martingales, stochastic differential equations, the absolute continuity of probability measures for diffusion and Ito processes, elements of stochastic calculus for counting processes. The book is not only addressed to mathematicians but should also serve the interests of other scientists who apply probabilistic and statistical methods in their work. The theory of martingales presented in the book has an independent interest in connection with problems from financial mathematics.
In the second edition, the authors have made numerous corrections, updating every chapter, adding two new subsections devoted to the Kalman filter under wrong initial conditions, as well asa new chapter devoted to asymptotically optimal filtering under diffusion approximation. Moreover, in each chapter a comment is added about the progress of recent years.

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Editorial
Springer
Año de publicación
2000
Idioma
Inglés
ISBN 10 
3540639292
ISBN 13 
9783540639299
Encuadernación
Tapa dura
Número de páginas
452
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Otras ediciones populares con el mismo título

9783642083662: Statistics of Random Processes: I. General Theory: 5 (Stochastic Modelling and Applied Probability)

Edición Destacada

ISBN 10:  3642083668 ISBN 13:  9783642083662
Editorial: Springer, 2010
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