Theory and Statistical Applications of Stochastic Processes

Yuliya Mishura

ISBN 10: 1786300508 / ISBN 13: 9781786300508

Published by ISTE Ltd and John Wiley & Sons Inc, 2018

About this Item

BIC Classification: PB. Category: (P) Professional & Vocational. Weight in Grams: 666. . 2017. 1st Edition. Hardcover. . . . . Books ship from the US and Ireland.

Seller Inventory # V9781786300508

Bibliographic Details

• Title: Theory and Statistical Applications of Stochastic Processes
• Publisher: ISTE Ltd and John Wiley & Sons Inc
• Publication Date: 2018
• Language: English
• ISBN 10: 1786300508
• ISBN 13: 9781786300508
• Binding: Hardcover
• Condition: New

About this title

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.

About the Author

Yuliya Mishura is Full Professor and Head of the Department of Probability Theory, Statistics and Actuarial Mathematics at Taras Shevchenko National University of Kyiv. Her research interests include martingale theory, fractional processes, stochastic differential equations, the statistics of stochastic processes and financial mathematics.

Georgiy Shevchenko is Full Professor in the Department of Probability Theory, Statistics and Actuarial Mathematics at Taras Shevchenko National University of Kyiv. His research interests include stochastic analysis, stochastic differential equations, models with long memory, the statistics of stochastic processes and financial mathematics.