Theory and Statistical Applications of Stochastic Processes

von Georgiy Shevchenko, Yuliya Mishura

400 Seiten, Hardcover

Kurzbeschreibung des Verlags

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.