Theory and Statistical Applications of Stochastic Processes

By: Yuliya Mishura and Georgiy Shevchenko

Sign Up Now! Already a Member? Log In
You must be logged into Bookshare to access this title. Learn about membership options, or view our freely available titles.

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