(eBook PDF) Theory and Statistical Applications of Stochastic Processes – Digital Ebook – Instant Delivery Download
Product details:
- ISBN-10 : 1786300508
- ISBN-13 : 978-1786300508
- Author: Yuliya Mishura, Georgiy Shevchenko
This book is concerned with the theory of stochastic processes and the theoretical aspects of statistics for stochastic processes. It combines classic topics such as construction of stochastic processes, associated filtrations, processes with independent increments, Gaussian processes, martingales, Markov properties, continuity and related properties of trajectories with contemporary subjects: integration with respect to Gaussian processes, Itȏ integration, stochastic analysis, stochastic differential equations, fractional Brownian motion and parameter estimation in diffusion models.
Table contents:
Chapter 1 Stochastic Processes General Properties. Trajectories, Finite-dimensional Distributions
Chapter 2 Stochastic Processes with Independent Increments
Chapter 3 Gaussian Processes Integration with Respect to Gaussian Processes
Chapter 4 Construction, Properties and Some Functionals of the Wiener Process and Fractional Brownian Motion
Chapter 5 Martingales and Related Processes
Chapter 6 Regularity of Trajectories of Stochastic Processes
Chapter 7 Markov and Diffusion Processes
Chapter 8 Stochastic Integration
Chapter 9 Stochastic Differential Equations.
Chapter 10 Parameter Estimation
Chapter 11 Filtering Problem Kalman-Bucy Filter
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