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Theory and statistical applications ...

Mishura, Yuliya,

Theory and statistical applications of stochastic processes /

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Theory and statistical applications of stochastic processes /Yuliya Mishura, Georgiy Shevchenko.
作者:	Mishura, Yuliya,
其他作者:	Shevchenko, Georgiy,
出版者:	London :ISTE Ltd ;2017.
面頁冊數:	xix, 373 p. :ill. ;25 cm.
標題:	Stochastic processes.
ISBN:	9781786300508 :

Theory and statistical applications of stochastic processes /
Mishura, Yuliya,

Theory and statistical applications of stochastic processes /Yuliya Mishura, Georgiy Shevchenko. - London :ISTE Ltd ;2017. - xix, 373 p. :ill. ;25 cm. - Mathematics and statistics. - Mathematics and statistics series (ISTE).

Includes bibliographical references and index.

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.

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. --

ISBN: 9781786300508 :$155.00

LCCN: 2017953309

Nat. Bib. No.: GBB7M5258bnb

Nat. Bib. Agency Control No.: 018616614UkSubjects--Topical Terms:

181874
Stochastic processes.

LC Class. No.: QA274 / M678 2017

Dewey Class. No.: 519.23

Theory and statistical applications of stochastic processes /
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100 1 $a Mishura, Yuliya, $e author. $3 829319
245 1 0 $a Theory and statistical applications of stochastic processes / $c Yuliya Mishura, Georgiy Shevchenko.
260 $a London : $b ISTE Ltd ; $a Hoboken, NJ : $b John Wiley & Sons, Inc., $c 2017.
300 $a xix, 373 p. : $b ill. ; $c 25 cm.
490 1 $a Mathematics and statistics
504 $a Includes bibliographical references and index.
505 0 $a 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.
520 $a 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. -- $c Provided by publisher.
650 0 $a Stochastic processes. $3 181874
700 1 $a Shevchenko, Georgiy, $e author. $3 829116
776 0 8 $i ebook version : $z 9781119476597
830 0 $a Mathematics and statistics series (ISTE) $3 781865