| 書目名稱 | Statistics of Random Processes II | | 副標題 | Applications | | 編輯 | Robert S. Liptser,Albert N. Shiryaev | | 視頻video | http://file.papertrans.cn/877/876770/876770.mp4 | | 概述 | In the second edition, two new subsections devoted to the Kalman filter under wrong initial conditions, and a new chapter on asymptotically optimal filtering under diffusion approximation have been ad | | 叢書名稱 | Stochastic Modelling and Applied Probability | | 圖書封面 |  | | 描述 | At the end of 1960s and the beginning of 1970s, when the Russian version of this book was written, the ‘general theory of random processes‘ did not operate widely with such notions as semimartingale, stochastic integral with respect to semimartingale, the Ito formula for semimartingales, etc. At that time in stochastic calculus (theory of martingales), the main object was the square integrable martingale. In a short time, this theory was applied to such areas as nonlinear filtering, optimal stochastic control, statistics for diffusion- type processes. In the first edition of these volumes, the stochastic calculus, based on square integrable martingale theory, was presented in detail with the proof of the Doob-Meyer decomposition for submartingales and the description of a structure for stochastic integrals. In the first volume (‘General Theory‘) these results were used for a presentation of further important facts such as the Girsanov theorem and its generalizations, theorems on the innovation pro- cesses, structure of the densities (Radon-Nikodym derivatives) for absolutely continuous measures being distributions of diffusion and ItO-type processes, and existence theorems for weak | | 出版日期 | Book 2001Latest edition | | 關鍵詞 | Filtering; Incomplete Data Control; Martingale; Point Process; STATISTICA; conditionally Gaussian; informa | | 版次 | 2 | | doi | https://doi.org/10.1007/978-3-662-10028-8 | | isbn_softcover | 978-3-642-08365-5 | | isbn_ebook | 978-3-662-10028-8Series ISSN 0172-4568 Series E-ISSN 2197-439X | | issn_series | 0172-4568 | | copyright | Springer-Verlag Berlin Heidelberg 2001 |
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