Statistics of Random Processes : I. General Theory
Liptser, Robert S.; Shiryaev, Albert N.; Aries, A. B. (TRN); Wilson, Stephen S. (EDT)
ISBN 10: 3642083668 ISBN 13: 9783642083662
Editorial: Springer, 2010
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Descripción:
Unread book in perfect condition. N° de ref. del artículo 12036697
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.
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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Título: Statistics of Random Processes : I. General ...
Editorial: Springer
Año de publicación: 2010
Encuadernación: Encuadernación de tapa blanda
Condición: As New
Edición: 2ª Edición
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Statistics of Random Processes
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Springer Berlin Heidelberg, 2010
ISBN 10: 3642083668
ISBN 13: 9783642083662
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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 addedIn each chapter a comment is added about the progr. Nº de ref. del artículo: 5047407
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Statistics of Random Processes: I. General Theory (Stochastic Modelling and Applied Probability)
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Statistics of Random Processes: I. General Theory (Stochastic Modelling and Applied Probability)
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Statistics of Random Processes (Paperback)
Publicado por
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG, Berlin, 2010
ISBN 10: 3642083668
ISBN 13: 9783642083662
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Paperback. Condición: new. Paperback. 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. 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. Shipping may be from multiple locations in the US or from the UK, depending on stock availability. Nº de ref. del artículo: 9783642083662
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Statistics of Random Processes
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Springer Berlin Heidelberg, Springer Berlin Heidelberg Dez 2010, 2010
ISBN 10: 3642083668
ISBN 13: 9783642083662
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Taschenbuch. Condición: Neu. This item is printed on demand - Print on Demand Titel. 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 Itô-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 448 pp. Englisch. Nº de ref. del artículo: 9783642083662
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Statistics of Random Processes : I. General Theory
Publicado por
Springer Berlin Heidelberg, 2010
ISBN 10: 3642083668
ISBN 13: 9783642083662
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 Itô-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: 9783642083662
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Statistics of Random Processes
Publicado por
Springer Berlin Heidelberg Dez 2010, 2010
ISBN 10: 3642083668
ISBN 13: 9783642083662
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 Itô-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. 448 pp. Englisch. Nº de ref. del artículo: 9783642083662
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Statistics of Random Processes
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Statistics of Random Processes
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