Statistics of Random Processes: II. Applications
Saved in:
| Main Author: | |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Berlin, Heidelberg
Springer Berlin Heidelberg
2001
|
| Edition: | Second, Revised and Expanded Edition |
| Series: | Stochastic Modelling and Applied Probability
6 |
| Subjects: | |
| Online Access: | Volltext |
| Item Description: | 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 |
| Physical Description: | 1 Online-Ressource (XV, 402 p) |
| ISBN: | 9783662100288 9783642083655 |
| ISSN: | 0172-4568 |
| DOI: | 10.1007/978-3-662-10028-8 |
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| illustrated | Not Illustrated |
| indexdate | 2024-07-10T01:21:13Z |
| institution | BVB |
| isbn | 9783662100288 9783642083655 |
| issn | 0172-4568 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-027858850 |
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| physical | 1 Online-Ressource (XV, 402 p) |
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| publishDate | 2001 |
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| publisher | Springer Berlin Heidelberg |
| record_format | marc |
| series2 | Stochastic Modelling and Applied Probability |
| spelling | Liptser, Robert S. Verfasser aut Statistics of Random Processes II. Applications by Robert S. Liptser, Albert N. Shiryaev Second, Revised and Expanded Edition Berlin, Heidelberg Springer Berlin Heidelberg 2001 1 Online-Ressource (XV, 402 p) txt rdacontent c rdamedia cr rdacarrier Stochastic Modelling and Applied Probability 6 0172-4568 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 Mathematics Distribution (Probability theory) Mathematical statistics Probability Theory and Stochastic Processes Statistical Theory and Methods Mathematik Shiryaev, Albert N. Sonstige oth https://doi.org/10.1007/978-3-662-10028-8 Verlag Volltext |
| spellingShingle | Liptser, Robert S. Statistics of Random Processes II. Applications Mathematics Distribution (Probability theory) Mathematical statistics Probability Theory and Stochastic Processes Statistical Theory and Methods Mathematik |
| title | Statistics of Random Processes II. Applications |
| title_auth | Statistics of Random Processes II. Applications |
| title_exact_search | Statistics of Random Processes II. Applications |
| title_full | Statistics of Random Processes II. Applications by Robert S. Liptser, Albert N. Shiryaev |
| title_fullStr | Statistics of Random Processes II. Applications by Robert S. Liptser, Albert N. Shiryaev |
| title_full_unstemmed | Statistics of Random Processes II. Applications by Robert S. Liptser, Albert N. Shiryaev |
| title_short | Statistics of Random Processes |
| title_sort | statistics of random processes ii applications |
| title_sub | II. Applications |
| topic | Mathematics Distribution (Probability theory) Mathematical statistics Probability Theory and Stochastic Processes Statistical Theory and Methods Mathematik |
| topic_facet | Mathematics Distribution (Probability theory) Mathematical statistics Probability Theory and Stochastic Processes Statistical Theory and Methods Mathematik |
| url | https://doi.org/10.1007/978-3-662-10028-8 |
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