عنوان

Statistics of Random Processes

شابک

9783642083662

شابک

9783662130438

شماره

b407057

عنوان اصلي

Statistics of Random Processes

نام عام مواد

[Book]

ساير اطلاعات عنواني

I. General Theory /

نام نخستين پديدآور

by Robert S. Liptser, Albert N. Shiryaev.

وضعيت ويراست

Second, Revised and Expanded Edition.

محل نشرو پخش و غیره

Berlin, Heidelberg :

نام ناشر، پخش کننده و غيره

Imprint: Springer,

تاریخ نشرو بخش و غیره

2001.

عنوان فروست

Applications of Mathematics, Stochastic Modelling and Applied Probability,

مشخصه جلد

5

شاپا ي ISSN فروست

0172-4568 ;

متن يادداشت

1. Essentials of Probability Theory and Mathematical Statistics -- 2. Martingales and Related Processes: Discrete Time -- 3. Martingales and Related Processes: Continuous Time -- 4. The Wiener Process, the Stochastic Integral over the Wiener Process, and Stochastic Differential Equations -- 5. Square Integrable Martingales and Structure of the Functionals on a Wiener Process -- 6. Nonnegative Supermartingales and Martingales, and the Girsanov Theorem -- 7. Absolute Continuity of Measures corresponding to the Itô Processes and Processes of the Diffusion Type -- 8. General Equations of Optimal Nonlinear Filtering, Interpolation and Extrapolation of Partially Observable Random Processes -- 9. Optimal Filtering, Interpolation and Extrapolation of Markov Processes with a Countable Number of States -- 10. Optimal Linear Nonstationary Filtering.

بدون عنوان

0

متن يادداشت

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.

شماره استاندارد بين المللي کتاب و موسيقي

9783642083662

عنوان

Springer eBooks

موضوع مستند نشده

Distribution (Probability theory).

موضوع مستند نشده

Mathematical statistics.

موضوع مستند نشده

Mathematics.

مستند نام اشخاص تاييد نشده

Liptser, Robert S.

مستند نام اشخاص تاييد نشده

Shiri︠a︡ev, Alʹbert Nikolaevich.

مستند نام تنالگان تاييد نشده

SpringerLink (Online service)

تاريخ عمليات

20190307162300.0

نام الکترونيکي

نوع ماده

[Book]

تكميل شده

Y