Statistics of Random Processes: I. General Theory

Liptser, Robert S., Shiryaev, Albert N.

ISBN 10: 3540639292 / ISBN 13: 9783540639299

Verlag: Springer, 2000

2000. 2nd rev. and exp. ed. 2001. hardcover. . . . . . Books ship from the US and Ireland. Bestandsnummer des Verkäufers V9783540639299

Inhaltsangabe:

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.

Von der hinteren Coverseite: 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.

Bibliografische Details

Titel: Statistics of Random Processes: I. General ...
Verlag: Springer
Erscheinungsdatum: 2000
Einband: Hardcover
Zustand: New
Auflage: 2. Auflage