Stochastic Analysis for Gaussian Random Processes and Fields: With Applications

Vidyadhar S. Mandrekar

ISBN 10: 1498707815 / ISBN 13: 9781498707817

Verlag: Taylor & Francis Inc, 2015

Beschreibung

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Bestandsnummer des Verkäufers B9781498707817

Bibliografische Details

• Titel: Stochastic Analysis for Gaussian Random Processes and Fields: With Applications
• Verlag: Taylor & Francis Inc
• Erscheinungsjahr: 2015
• Sprache: Englisch
• ISBN-10: 1498707815
• ISBN-13: 9781498707817
• Einband: Hardback
• Zustand: New
• Gewicht: 456 Gramm

Über diesen Titel

Inhaltsangabe

This monograph presents Hilbert space methods to study deep analytic properties connecting probabilistic notions. In particular, the authors study Gaussian random fields using reproducing kernel Hilbert spaces (RKHSs). They explain how covariances are related to RKHSs and examine the Bayes’ formula, the filtering and analytic problem related to fractional Brownian motion, and equivalence and singularity of Gaussian random fields. The book also describes applications in finance and spatial statistics and presents results on Dirichlet forms and associated Markov processes.

Über die Autorin bzw. den Autor

Vidyadhar Mandrekar is a professor in the Department of Statistics and Probability at Michigan State University. He earned a PhD in statistics from Michigan State University. His research interests include stochastic partial differential equations, stationary and Markov fields, stochastic stability, and signal analysis.

Leszek Gawarecki is head of the Department of Mathematics at Kettering University. He earned a PhD in statistics from Michigan State University. His research interests include stochastic analysis and stochastic ordinary and partial differential equations.