Theory and statistical applications of stochastic processes /
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,...
| Main Authors: | , |
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| Format: | eBook |
| Language: | English |
| Published: |
London : Hoboken, NJ :
ISTE ; Wiley,
2017.
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| Subjects: | |
| Online Access: | Connect to the full text of this electronic book |
| Summary: | 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, It' integration, stochastic analysis, stochastic differential equations, fractional Brownian motion and parameter estimation in diffusion models. |
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| Physical Description: | 1 online resource : illustrations |
| Bibliography: | Includes bibliographical references and index. |
| ISBN: | 9781119476634 1119476631 9781119441601 1119441609 9781119476597 1119476593 |