Statistics of Random Processes: I. General Theory / Edition 2

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Overview

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.

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Editorial Reviews

From the Publisher
From the reviews:

JOURNAL OF THE AMERICAN STOCHASTIC ASSOCIATION

"The material is accessible to researchers and advanced graduate students. These two classic volumes are very important resources for both probabilists and statisticians."

SIAM REVIEW

"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 shastic 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 shastic analysis and nonlinear filtering…What is special about these books is their broad coverage and in-depth study of optimal filtering problems…The books can be used by researchers in different areas who need to use shastic calculus and who treat state estimation, detection, and shastic control problems under incomplete information and partial observations…These two books are a comprehensive treatise on shastic calculus, random processes, and filtering theory, and provide an excellent and illuminating introduction to these fields with a wide range of theoretical and practical issues. With the new additions and modifications of the first edition, they are to be welcomed and benefit not only the systems theory and control community but also mathematicians working on shastic processes; engineers in control, communication, and signal processing; researchers in financial engineering; and scientists in many other related fields. It is conceivable that these books will have a significant impact on the aforementioned fields and will become classics."

SIAM REVIEW

"The first volume of the books may also be used as an advanced graduate-level textbook for a course in shastic processes…"

From the reviews of the second edition:

"This is the revised and expanded second edition of the first version in Russian of (1974) and in English (1997, 1978). The ambitious program of the authors was to give for the first time a systematic account of the shastic calculus and the unifying power and efficiency of its methods for the study of statistics of random process. … The very detailed exposition of the text will in particular appeal to the mathematically interested reader and scientist." (Metrika, July, 2002)

"For several reasons shastic analysis has been among the scientific hits of the last few decades. … The reference list is also updated with essential recently published papers and books. Thus the comprehensive content and the masterly written text make the book attractive for researchers in shastic analysis and its applications as well as for graduate students in the area. … this book will continue to be among the most useful and popular books on the subject in the decades to come." (Jordan M. Stoyanov, Zentralblatt MATH, Issue 1008, 2003)

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Product Details

  • ISBN-13: 9783540639299
  • Publisher: Springer Berlin Heidelberg
  • Publication date: 12/12/2000
  • Series: Stochastic Modelling and Applied Probability Series , #5
  • Edition description: 2nd rev. and exp. ed. 2001
  • Edition number: 2
  • Pages: 427
  • Product dimensions: 9.21 (w) x 6.14 (h) x 1.00 (d)

Table of Contents

Essentials of probability theory and mathematical statistics.- Martingales and related processes.- Martingales and supermartingales: continuous time.- The Wiener process, the shastic integral over the Wiener process, and shastic differential equations.- Square integrable martingales, and structure of the functionals on a Wiener process.- Nonnegative supermartingales and martingales, and the Girsanovs theorem.- Absolute continuity of measures corresponding to the Ito processes and processes of diffusion type.- General equations of optimal nonlinear filtering, interpolation and extrapolation of partially observable random processes.- Optimal filtering, interpolation and extrapolation of Markov processes with countable number of states.- Optimal linear nonstationary filtering.

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