Statistics of random processes / Robert S. Liptser, Albert N. Shiryaev ; translated by A.B. Aries ; translation editor, Stephen S. Wilson.
Material type: TextLanguage: English Original language: Russian Series: Applications of mathematics ; 5-6.Publisher: Berlin ; New York : Springer, [2001]Copyright date: ©2001Edition: 2nd, revised and expanded editionDescription: 2 volumes ; 24 cmContent type:- text
- unmediated
- volume
- 3540639292
- 9783540639299
- 3540639284
- 9783540639282
- Statistika sluchaĭnykh prot︠s︡essov. English
- 519.23 22
- QA274 .L5713 2001
Item type | Current library | Call number | Vol info | Copy number | Status | Date due | Barcode | |
---|---|---|---|---|---|---|---|---|
Book | City Campus City Campus Main Collection | 519.23 LIP (Browse shelf(Opens below)) | Vol. 1 | 1 | Available | A326292B | ||
Book | City Campus City Campus Main Collection | 519.23 LIP (Browse shelf(Opens below)) | Vol. 2 | 1 | Available | A508256B |
Includes bibliographical references and index.
1. General theory -- 2. Applications.
"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."--Publisher description.
Machine converted from AACR2 source record.
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