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Yuliya Mishura & Georgiy Shevchenko 
Theory and Statistical Applications of Stochastic Processes 

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Couverture du Yuliya Mishura & Georgiy Shevchenko: Theory and Statistical Applications of Stochastic Processes (ePUB)
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, Itô integration, stochastic analysis, stochastic differential equations, fractional Brownian motion and parameter estimation in diffusion models.
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Table des matières

Part1.Theory of Stochastic Processes.

1. Stochastic Processes. General Properties. Trajectories, Finite-dimensional Distributions.

2. Stochastic Processes with Independent Increments.

3. Gaussian Processes. Integration with Respect to Gaussian Processes.

4. Construction, Properties and Some Functionals of the Wiener Process and Fractional Brownian Motion.

5. Martingales and Related Processes.

6. Regularity of Trajectories of Stochastic Processes.

7. Markov and Diffusion Processes.

8. Stochastic Integration.

9. Stochastic Differential Equations.

Part 2. Statistics of Stochastic Processes.

10. Parameter Estimation.

11. Filtering Problem. Kalman-Bucy Filter.

A propos de l’auteur

Yuliya Mishura, National University of Kyiv, Ukraine Georgiy Shevchenko, National University of Kyiv, Ukraine
Langue Anglais ● Format EPUB ● Pages 400 ● ISBN 9781119476597 ● Taille du fichier 35.9 MB ● Maison d’édition John Wiley & Sons ● Publié 2017 ● Édition 1 ● Téléchargeable 24 mois ● Devise EUR ● ID 5544206 ● Protection contre la copie Adobe DRM
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