Statistics Of Random Processes I
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Statistics Of Random Processes I
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Author : R.S. Liptser
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-11-11
Statistics Of Random Processes I written by R.S. Liptser and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-11-11 with Mathematics categories.
A considerable number of problems in the statistics of random processes are formulated within the following scheme. On a certain probability space (Q, ff, P) a partially observable random process (lJ,~) = (lJ ~/), t :;::-: 0, is given with only the second component n ~ = (~/), t:;::-: 0, observed. At any time t it is required, based on ~h = g., ° s sst}, to estimate the unobservable state lJ/. This problem of estimating (in other words, the filtering problem) 0/ from ~h will be discussed in this book. It is well known that if M(lJ;)
Statistics Of Random Processes
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Author : Robert Liptser
language : en
Publisher: Springer Science & Business Media
Release Date : 2001
Statistics Of Random Processes written by Robert Liptser and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Language Arts & Disciplines categories.
These volumes cover non-linear filtering (prediction and smoothing) theory and its applications to the problem of optimal estimation, control with incomplete data, information theory, and sequential testing of hypothesis. Also presented is the theory of martingales, of interest to those who deal with problems in financial mathematics. These editions include new material, expanded chapters, and comments on recent progress in the field.
Statistics Of Random Processes Ii
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Author : R.S. Liptser
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-04-17
Statistics Of Random Processes Ii written by R.S. Liptser and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-04-17 with Mathematics categories.
Statistics Of Random Processes Ii
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Author : Robert S. Liptser
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-03-14
Statistics Of Random Processes Ii written by Robert S. Liptser and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-03-14 with Mathematics categories.
At the end of 1960s and the beginning of 1970s, when the Russian version of this book was written, the 'general theory of random processes' did not operate widely with such notions as semimartingale, stochastic integral with respect to semimartingale, the Ito formula for semimartingales, etc. At that time in stochastic calculus (theory of martingales), the main object was the square integrable martingale. In a short time, this theory was applied to such areas as nonlinear filtering, optimal stochastic control, statistics for diffusion type processes. In the first edition of these volumes, the stochastic calculus, based on square integrable martingale theory, was presented in detail with the proof of the Doob-Meyer decomposition for submartingales and the description of a structure for stochastic integrals. In the first volume ('General Theory') these results were used for a presentation of further important facts such as the Girsanov theorem and its generalizations, theorems on the innovation pro cesses, structure of the densities (Radon-Nikodym derivatives) for absolutely continuous measures being distributions of diffusion and ItO-type processes, and existence theorems for weak and strong solutions of stochastic differential equations. All the results and facts mentioned above have played a key role in the derivation of 'general equations' for nonlinear filtering, prediction, and smoothing of random processes.
Statistics Of Random Processes
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Author : Robert S. Liptser
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-04-17
Statistics Of Random Processes written by Robert S. Liptser and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-04-17 with Mathematics categories.
At the end of 1960s and the beginning of 1970s, when the Russian version of this book was written, the 'general theory of random processes' did not operate widely with such notions as semimartingale, stochastic integral with respect to semimartingale, the ItO formula for semimartingales, etc. At that time in stochastic calculus (theory of martingales), the main object was the square integrable martingale. In a short time, this theory was applied to such areas as nonlinear filtering, optimal stochastic control, statistics for diffusion type processes. In the first edition of these volumes, the stochastic calculus, based on square integrable martingale theory, was presented in detail with the proof of the Doob-Meyer decomposition for submartingales and the description of a structure for stochastic integrals. In the first volume ('General Theory') these results were used for a presentation of further important facts such as the Girsanov theorem and its generalizations, theorems on the innovation pro cesses, structure of the densities (Radon-Nikodym derivatives) for absolutely continuous measures being distributions of diffusion and Itô-type processes, and existence theorems for weak and strong solutions of stochastic differential equations. All the results and facts mentioned above have played a key role in the derivation of 'general equations' for nonlinear filtering, prediction, and smoothing of random processes.
Statistics Of Random Processes
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Author : Robert Shevilevich Lipcer
language : en
Publisher:
Release Date : 1984
Statistics Of Random Processes written by Robert Shevilevich Lipcer and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1984 with categories.
Statistics Of Random Processes
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Author : R. Š Lipcer
language : en
Publisher:
Release Date : 2000
Statistics Of Random Processes written by R. Š Lipcer and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with categories.
Statistics Of Random Processes Ii
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Author : Robert Shevilevich Lipt︠s︡er
language : en
Publisher: Springer Science & Business Media
Release Date : 2001
Statistics Of Random Processes Ii written by Robert Shevilevich Lipt︠s︡er and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Mathematics categories.
"Written by two renowned experts in the field, the books under review contain a thorough and insightful treatment of the fundamental underpinnings of various aspects of stochastic processes as well as a wide range of applications. Providing clear exposition, deep mathematical results, and superb technical representation, they are masterpieces of the subject of stochastic analysis and nonlinear filtering....These books...will become classics." --SIAM REVIEW
Statistics Of Random Processes
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Author : Robert S. Lipcer
language : en
Publisher:
Release Date : 2000
Statistics Of Random Processes written by Robert S. Lipcer and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Mathematical statistics categories.
Statistics Of Random Processes
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Author : Robert Shevilevich Liptser
language : en
Publisher:
Release Date : 1977
Statistics Of Random Processes written by Robert Shevilevich Liptser and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1977 with Mathematical statistics categories.