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Statistics of Random Processes I
other
Author(s):
R. S. Liptser
,
A. N. Shiryayev
Publication date
(Print):
1977
Publisher:
Springer New York
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There is no author summary for this book yet. Authors can add summaries to their books on ScienceOpen to make them more accessible to a non-specialist audience.
Related collections
Multivariate statistics in earth science
Author and book information
Book
ISBN (Print):
978-1-4757-1667-2
ISBN (Electronic):
978-1-4757-1665-8
Publication date (Print):
1977
DOI:
10.1007/978-1-4757-1665-8
SO-VID:
871a6978-2067-4727-9132-214cd7180568
License:
http://www.springer.com/tdm
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Book chapters
pp. 1
Introduction
pp. 11
Essentials of probability theory and mathematical statistics
pp. 37
Martingales and semimartingales: discrete time
pp. 55
Martingales and semimartingales: continuous time
pp. 82
The Wiener process, the stochastic integral over the Wiener process, and stochastic differential equations
pp. 152
Square integrable martingales, and structure of the functionals on a Wiener process
pp. 207
Nonnegative supermartingales and martingales, and the Girsanov theorem
pp. 236
Absolute continuity of measures corresponding to the Ito processes and processes of the diffusion type
pp. 297
General equations of optimal nonlinear filtering, interpolation and extrapolation of partially observable random processes
pp. 329
Optimal filtering, interpolation and extrapolation of Markov processes with a countable number of states
pp. 351
Optimal linear nonstationary filtering
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