Theory and statistical applications of stochastic processes /

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,...

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Bibliographic Details
Call Number:Libro Electrónico
Main Authors: Mishura, I͡Ulii͡a S. (Author), Shevchenko, Georgiy (Author)
Format: Electronic eBook
Language:Inglés
Published: London : Hoboken, NJ : ISTE ; Wiley, 2017.
Subjects:
Stochastic processes.
Processus stochastiques.
MATHEMATICS > Applied.
MATHEMATICS > Probability & Statistics > General.
Stochastic processes
Online Access:Texto completo
Table of Contents:
  • Stochastic processes, general properties, trajectories, finite-dimensional distributions
  • Stochastic processes with independent increments
  • Gaussian processes, integration with respect to Gaussian processes
  • Construction, properties and some functionals of the Wiener process and fractional Brownian motion
  • Martingales and related processes
  • Regularity of trajectories of Stochastic processes
  • Markov and diffusion processes
  • Stochastic integration
  • Stochastic differential equations
  • Parameter estimation
  • Filtering problem, Kalman-Bucy filter.

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