Theory and Statistical Applications of Stochastic Processes

Nonfiction, Science & Nature, Mathematics, Statistics
Cover of the book Theory and Statistical Applications of Stochastic Processes by Yuliya Mishura, Georgiy Shevchenko, Wiley
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Author: Yuliya Mishura, Georgiy Shevchenko ISBN: 9781119476597
Publisher: Wiley Publication: November 30, 2017
Imprint: Wiley-ISTE Language: English
Author: Yuliya Mishura, Georgiy Shevchenko
ISBN: 9781119476597
Publisher: Wiley
Publication: November 30, 2017
Imprint: Wiley-ISTE
Language: English

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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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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