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Theory and Statistical Applications of Stochastic Processes

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Theory and Statistical Applications of Stochastic Processes Synopsis

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.

About This Edition

ISBN: 9781786300508
Publication date: 14th November 2017
Author: Yuliya Mishura, Georgiy Shevchenko
Publisher: ISTE Ltd and John Wiley & Sons Inc
Format: Hardback
Pagination: 400 pages
Genres: Stochastics