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Statistics of Random Processes - I. General Theory (Hardcover, 2nd rev. and exp. ed. 2001) Loot Price: R3,479
Discovery Miles 34 790
Statistics of Random Processes - I. General Theory (Hardcover, 2nd rev. and exp. ed. 2001): Robert S. Liptser

Statistics of Random Processes - I. General Theory (Hardcover, 2nd rev. and exp. ed. 2001)

Robert S. Liptser; Translated by Baries; Albert N. Shiryaev

Series: Stochastic Modelling and Applied Probability, 5

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Loot Price R3,479 Discovery Miles 34 790 | Repayment Terms: R326 pm x 12*

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The subject of these two volumes is non-linear filtering (prediction and smoothing) theory and its application to the problem of optimal estimation, control with incomplete data, information theory, and sequential testing of hypothesis. The book is not only addressed to mathematicians but should also serve the interests of other scientists who apply probabilistic and statistical methods in their work. The theory of martingales presented in the book has an independent interest in connection with problems from financial mathematics. In the second edition, the authors have made numerous corrections, updating every chapter, adding two new subsections devoted to the Kalman filter under wrong initial conditions, as well as a new chapter devoted to asymptotically optimal filtering under diffusion approximation. Moreover, in each chapter a comment is added about the progress of recent years.

General

Imprint: Springer-Verlag
Country of origin: Germany
Series: Stochastic Modelling and Applied Probability, 5
Release date: November 2000
First published: 2001
Authors: Robert S. Liptser
Translators: Baries
Authors: Albert N. Shiryaev
Dimensions: 234 x 156 x 31mm (L x W x T)
Format: Hardcover
Pages: 427
Edition: 2nd rev. and exp. ed. 2001
ISBN-13: 978-3-540-63929-9
Categories: Books > Science & Mathematics > Mathematics > Probability & statistics
Books > Science & Mathematics > Mathematics > Applied mathematics > Non-linear science
LSN: 3-540-63929-2
Barcode: 9783540639299

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