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Statistics of Random Processes : I. General Theory

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Statistics of Random Processes : I. General Theory
Springer Science & Business Media

Table of Contents

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    Book Overview
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    Chapter 1 Introduction
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    Chapter 2 Essentials of Probability Theory and Mathematical Statistics
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    Chapter 3 Martingales and Related Processes: Discrete Time
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    Chapter 4 Martingales and Related Processes: Continuous Time
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    Chapter 5 The Wiener Process, the Stochastic Integral over the Wiener Process, and Stochastic Differential Equations
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    Chapter 6 Square Integrable Martingales and Structure of the Functionals on a Wiener Process
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    Chapter 7 Nonnegative Supermartingales and Martingales, and the Girsanov Theorem
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    Chapter 8 Absolute Continuity of Measures corresponding to the Itô Processes and Processes of the Diffusion Type
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    Chapter 9 General Equations of Optimal Nonlinear Filtering, Interpolation and Extrapolation of Partially Observable Random Processes
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    Chapter 10 Optimal Filtering, Interpolation and Extrapolation of Markov Processes with a Countable Number of States
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    Chapter 11 Optimal Linear Nonstationary Filtering
Attention for Chapter 10: Optimal Filtering, Interpolation and Extrapolation of Markov Processes with a Countable Number of States
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Chapter title
Optimal Filtering, Interpolation and Extrapolation of Markov Processes with a Countable Number of States
Chapter number 10
Book title
Statistics of Random Processes
Published by
Springer, Berlin, Heidelberg, January 2001
DOI 10.1007/978-3-662-13043-8_10
Book ISBNs
978-3-64-208366-2, 978-3-66-213043-8
Authors

Robert S. Liptser, Albert N. Shiryaev

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