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Statistics of Random Processes II: Applications: 6 (Stochastic Modelling and Applied Probability) - Tapa blanda
Sinopsis
"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
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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 as a 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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Statistics of Random Processes II: Applications (Stochastic Modelling and Applied Probability)
Librería: Ria Christie Collections, Uxbridge, Reino Unido
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Condición: New. In. Nº de ref. del artículo: ria9783642083655_new
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Statistics of Random Processes II
Publicado por
Springer Berlin Heidelberg, 2010
ISBN 10: 364208365X
ISBN 13: 9783642083655
Nuevo
Tapa blanda
Librería: moluna, Greven, Alemania
Calificación del vendedor: 5 de 5 estrellas
Condición: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. In the second edition, two new subsections devoted to the Kalman filter under wrong initial conditions, and a new chapter on asymptotically optimal filtering under diffusion approximation have been addedMoreover in each chapter a comment is added about . Nº de ref. del artículo: 5047406
Cantidad disponible: Más de 20 disponibles
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Statistics of Random Processes II
Publicado por
Springer Berlin Heidelberg Dez 2010, 2010
ISBN 10: 364208365X
ISBN 13: 9783642083655
Nuevo
Taschenbuch
Librería: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Alemania
Calificación del vendedor: 5 de 5 estrellas
Taschenbuch. Condición: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -At the end of 1960s and the beginning of 1970s, when the Russian version of this book was written, the 'general theory of random processes' did not operate widely with such notions as semimartingale, stochastic integral with respect to semimartingale, the Ito formula for semimartingales, etc. At that time in stochastic calculus (theory of martingales), the main object was the square integrable martingale. In a short time, this theory was applied to such areas as nonlinear filtering, optimal stochastic control, statistics for diffusion type processes. In the first edition of these volumes, the stochastic calculus, based on square integrable martingale theory, was presented in detail with the proof of the Doob-Meyer decomposition for submartingales and the description of a structure for stochastic integrals. In the first volume ('General Theory') these results were used for a presentation of further important facts such as the Girsanov theorem and its generalizations, theorems on the innovation pro cesses, structure of the densities (Radon-Nikodym derivatives) for absolutely continuous measures being distributions of diffusion and ItO-type processes, and existence theorems for weak and strong solutions of stochastic differential equations. All the results and facts mentioned above have played a key role in the derivation of 'general equations' for nonlinear filtering, prediction, and smoothing of random processes. 424 pp. Englisch. Nº de ref. del artículo: 9783642083655
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Statistics of Random Processes II : Applications
Publicado por
Springer Berlin Heidelberg, 2010
ISBN 10: 364208365X
ISBN 13: 9783642083655
Nuevo
Taschenbuch
Librería: AHA-BUCH GmbH, Einbeck, Alemania
Calificación del vendedor: 5 de 5 estrellas
Taschenbuch. Condición: Neu. Druck auf Anfrage Neuware - Printed after ordering - At the end of 1960s and the beginning of 1970s, when the Russian version of this book was written, the 'general theory of random processes' did not operate widely with such notions as semimartingale, stochastic integral with respect to semimartingale, the Ito formula for semimartingales, etc. At that time in stochastic calculus (theory of martingales), the main object was the square integrable martingale. In a short time, this theory was applied to such areas as nonlinear filtering, optimal stochastic control, statistics for diffusion type processes. In the first edition of these volumes, the stochastic calculus, based on square integrable martingale theory, was presented in detail with the proof of the Doob-Meyer decomposition for submartingales and the description of a structure for stochastic integrals. In the first volume ('General Theory') these results were used for a presentation of further important facts such as the Girsanov theorem and its generalizations, theorems on the innovation pro cesses, structure of the densities (Radon-Nikodym derivatives) for absolutely continuous measures being distributions of diffusion and ItO-type processes, and existence theorems for weak and strong solutions of stochastic differential equations. All the results and facts mentioned above have played a key role in the derivation of 'general equations' for nonlinear filtering, prediction, and smoothing of random processes. Nº de ref. del artículo: 9783642083655
Cantidad disponible: 1 disponibles
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Statistics of Random Processes II
Publicado por
Springer Berlin Heidelberg, Springer Berlin Heidelberg Dez 2010, 2010
ISBN 10: 364208365X
ISBN 13: 9783642083655
Nuevo
Taschenbuch
Original o primera edición
Librería: buchversandmimpf2000, Emtmannsberg, BAYE, Alemania
Calificación del vendedor: 5 de 5 estrellas
Taschenbuch. Condición: Neu. Neuware -At the end of 1960s and the beginning of 1970s, when the Russian version of this book was written, the 'general theory of random processes' did not operate widely with such notions as semimartingale, stochastic integral with respect to semimartingale, the Ito formula for semimartingales, etc. At that time in stochastic calculus (theory of martingales), the main object was the square integrable martingale. In a short time, this theory was applied to such areas as nonlinear filtering, optimal stochastic control, statistics for diffusion type processes. In the first edition of these volumes, the stochastic calculus, based on square integrable martingale theory, was presented in detail with the proof of the Doob-Meyer decomposition for submartingales and the description of a structure for stochastic integrals. In the first volume ('General Theory') these results were used for a presentation of further important facts such as the Girsanov theorem and its generalizations, theorems on the innovation pro cesses, structure of the densities (Radon-Nikodym derivatives) for absolutely continuous measures being distributions of diffusion and ItO-type processes, and existence theorems for weak and strong solutions of stochastic differential equations. All the results and facts mentioned above have played a key role in the derivation of 'general equations' for nonlinear filtering, prediction, and smoothing of random processes.Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 424 pp. Englisch. Nº de ref. del artículo: 9783642083655
Cantidad disponible: 2 disponibles
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Statistics of Random Processes II: Applications (Stochastic Modelling and Applied Probability)
Librería: California Books, Miami, FL, Estados Unidos de America
Calificación del vendedor: 5 de 5 estrellas
Condición: New. Nº de ref. del artículo: I-9783642083655
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Statistics of Random Processes II: Applications (Stochastic Modelling and Applied Probability)
Librería: Lucky's Textbooks, Dallas, TX, Estados Unidos de America
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Condición: New. Nº de ref. del artículo: ABLIING23Mar3113020217020
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Statistics of Random Processes II
Librería: Books Puddle, New York, NY, Estados Unidos de America
Calificación del vendedor: 4 de 5 estrellas
Condición: New. pp. 420 2nd Edition. Nº de ref. del artículo: 262447009
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Statistics of Random Processes II
Impresión bajo demandaLibrería: Majestic Books, Hounslow, Reino Unido
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Condición: New. Print on Demand pp. 420 49:B&W 6.14 x 9.21 in or 234 x 156 mm (Royal 8vo) Perfect Bound on White w/Gloss Lam. Nº de ref. del artículo: 5433726
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Statistics of Random Processes II
Impresión bajo demandaLibrería: Biblios, Frankfurt am main, HESSE, Alemania
Calificación del vendedor: 4 de 5 estrellas
Condición: New. PRINT ON DEMAND pp. 420. Nº de ref. del artículo: 182447019
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