Stochastic Analysis for Gaussian Random Processes and Fields | With Applications

Vidyadhar S. Mandrekar (u. a.)

ISBN 10: 0367738147 / ISBN 13: 9780367738143

Published by CRC Press, 2020

About this Item

Stochastic Analysis for Gaussian Random Processes and Fields | With Applications | Vidyadhar S. Mandrekar (u. a.) | Taschenbuch | Chapman & Hall/CRC Monographs on Statistics and Applied Probability | Einband - flex.(Paperback) | Englisch | 2020 | CRC Press | EAN 9780367738143 | Verantwortliche Person für die EU: preigu GmbH & Co. KG, Lengericher Landstr. 19, 49078 Osnabrück, mail[at]preigu[dot]de | Anbieter: preigu Print on Demand.

Seller Inventory # 133315327

Bibliographic Details

• Title: Stochastic Analysis for Gaussian Random Processes and Fields | With Applications
• Publisher: CRC Press
• Publication Date: 2020
• Language: English
• ISBN 10: 0367738147
• ISBN 13: 9780367738143
• Binding: Taschenbuch
• Condition: Neu
• Dimensions: 12W x 155H x 234D millimeters 12 millimeters width by 155 millimeters height by 234 millimeters depth
• Weight: 294 grams
• Seller catalogs:
  • Bücher

About this title

Synopsis

Stochastic Analysis for Gaussian Random Processes and Fields: With Applications presents Hilbert space methods to study deep analytic properties connecting probabilistic notions. In particular, it studies Gaussian random fields using reproducing kernel Hilbert spaces (RKHSs).

The book begins with preliminary results on covariance and associated RKHS before introducing the Gaussian process and Gaussian random fields. The authors use chaos expansion to define the Skorokhod integral, which generalizes the Itô integral. They show how the Skorokhod integral is a dual operator of Skorokhod differentiation and the divergence operator of Malliavin. The authors also present Gaussian processes indexed by real numbers and obtain a Kallianpur–Striebel Bayes' formula for the filtering problem. After discussing the problem of equivalence and singularity of Gaussian random fields (including a generalization of the Girsanov theorem), the book concludes with the Markov property of Gaussian random fields indexed by measures and generalized Gaussian random fields indexed by Schwartz space. The Markov property for generalized random fields is connected to the Markov process generated by a Dirichlet form.

About the Author

Vidyadhar Mandrekar is a professor in the Department of Statistics and Probability at Michigan State University. He earned a PhD in statistics from Michigan State University. His research interests include stochastic partial differential equations, stationary and Markov fields, stochastic stability, and signal analysis.

Leszek Gawarecki is head of the Department of Mathematics at Kettering University. He earned a PhD in statistics from Michigan State University. His research interests include stochastic analysis and stochastic ordinary and partial differential equations.