Description

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.

Theory and Statistical Applications of Stochastic Processes

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Hardback by Yuliya Mishura , Georgiy Shevchenko

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This book is concerned with the theory of stochastic processes and the theoretical aspects of statistics for stochastic processes. It... Read more

    Publisher: ISTE Ltd and John Wiley & Sons Inc
    Publication Date: 14/11/2017
    ISBN13: 9781786300508, 978-1786300508
    ISBN10: 1786300508

    Number of Pages: 400

    Non Fiction , Mathematics & Science , Education

    Description

    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.

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