Theory and Statistical Applications of Stochastic Processes. Yuliya Mishura
Математика.
Theory and Statistical Applications of Stochastic Processes
Год выпуска 0
isbn 9781119476634
Автор произведения Yuliya Mishura
Жанр Математика
Издательство John Wiley & Sons Limited
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.