Theory and Statistical Applications of Stochastic Processes

Author : Georgiy Shevchenko,Yuliya Mishura

Hardback

Published : Tuesday 14 November 2017

ISBN : 9781786300508

Price : €162.57

Description

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, Ito integration, stochastic analysis, stochastic differential equations, fractional Brownian motion and parameter estimation in diffusion models.

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