Statistics And Control Of Stochastic Processes: The Liptser Festschrift
Statistics And Control Of Stochastic Processes: The Liptser Festschrift

Author: Yu M Kabanov

Publisher: World Scientific

Published: 1997-12-04

Total Pages: 378

ISBN-13: 9814545503

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This volume contains papers presented at the Steklov Seminar on Statistics and Control of Stochastic Processes. For the past three decades, the seminar has determined the development, in a number of important directions, of the theory of random processes not only in the USSR (now Russia) but in the whole world. It was organised by A N Shiryaev in collaboration with N V Krylov and R Sh Liptser. It started off with optimal stopping and filtering with applications to engineering, and very soon extended its interests to more general problems of stochastic control, causal and anticipating stochastic calculus, limit theorems for semimartingales, martingale methods in queueing theory, foundations of statistics of random processes and, in recent years, mathematical finance. Many studies, for example of stochastic PDEs or extended stochastic integrals, anticipated largely Western works.The contributions in this book are devoted to the hottest topics and united by a martingale methodology which was the key idea of the seminar.

Statistics and Control of Stochastic Processes
Statistics and Control of Stochastic Processes

Author: Yu M. Kabanov

Publisher: World Scientific Publishing Company Incorporated

Published: 1997

Total Pages: 354

ISBN-13: 9789810232924

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This volume contains papers presented at the Steklov Seminar on Statistics and Control of Stochastic Processes. For the past three decades, the seminar has determined the development, in a number of important directions, of the theory of random processes not only in the USSR (now Russia) but in the whole world. It was organised by A N Shiryaev in collaboration with N V Krylov and R Sh Liptser. It started off with optimal stopping and filtering with applications to engineering, and very soon extended its interests to more general problems of stochastic control, causal and anticipating stochastic calculus, limit theorems for semimartingales, martingale methods in queueing theory, foundations of statistics of random processes and, in recent years, mathematical finance. Many studies, for example of stochastic PDEs or extended stochastic integrals, anticipated largely Western works. The contributions in this book are devoted to the hottest topics and united by a martingale which was the key idea of the seminar.

From Stochastic Calculus to Mathematical Finance
From Stochastic Calculus to Mathematical Finance

Author: Yu. Kabanov

Publisher: Springer Science & Business Media

Published: 2007-04-03

Total Pages: 659

ISBN-13: 3540307885

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Dedicated to the Russian mathematician Albert Shiryaev on his 70th birthday, this is a collection of papers written by his former students, co-authors and colleagues. The book represents the modern state of art of a quickly maturing theory and will be an essential source and reading for researchers in this area. Diversity of topics and comprehensive style of the papers make the book attractive for PhD students and young researchers.

Stochastic Differential Equations
Stochastic Differential Equations

Author: Peter H. Baxendale

Publisher: World Scientific

Published: 2007

Total Pages: 416

ISBN-13: 9812770631

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This volume consists of 15 articles written by experts in stochastic analysis. The first paper in the volume, Stochastic Evolution Equations by N V Krylov and B L Rozovskii, was originally published in Russian in 1979. After more than a quarter-century, this paper remains a standard reference in the field of stochastic partial differential equations (SPDEs) and continues to attract the attention of mathematicians of all generations. Together with a short but thorough introduction to SPDEs, it presents a number of optimal, and essentially unimprovable, results about solvability for a large class of both linear and non-linear equations. The other papers in this volume were specially written for the occasion of Prof RozovskiiOCOs 60th birthday. They tackle a wide range of topics in the theory and applications of stochastic differential equations, both ordinary and with partial derivatives."

Stochastic Differential Equations: Theory And Applications - A Volume In Honor Of Professor Boris L Rozovskii
Stochastic Differential Equations: Theory And Applications - A Volume In Honor Of Professor Boris L Rozovskii

Author: Peter H Baxendale

Publisher: World Scientific

Published: 2007-04-19

Total Pages: 416

ISBN-13: 9814475424

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This volume consists of 15 articles written by experts in stochastic analysis. The first paper in the volume, Stochastic Evolution Equations by N V Krylov and B L Rozovskii, was originally published in Russian in 1979. After more than a quarter-century, this paper remains a standard reference in the field of stochastic partial differential equations (SPDEs) and continues to attract the attention of mathematicians of all generations. Together with a short but thorough introduction to SPDEs, it presents a number of optimal, and essentially unimprovable, results about solvability for a large class of both linear and non-linear equations.The other papers in this volume were specially written for the occasion of Prof Rozovskii's 60th birthday. They tackle a wide range of topics in the theory and applications of stochastic differential equations, both ordinary and with partial derivatives.

Introduction to Stochastic Calculus
Introduction to Stochastic Calculus

Author: Rajeeva L. Karandikar

Publisher: Springer

Published: 2018-06-01

Total Pages: 446

ISBN-13: 9811083185

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This book sheds new light on stochastic calculus, the branch of mathematics that is most widely applied in financial engineering and mathematical finance. The first book to introduce pathwise formulae for the stochastic integral, it provides a simple but rigorous treatment of the subject, including a range of advanced topics. The book discusses in-depth topics such as quadratic variation, Ito formula, and Emery topology. The authors briefly addresses continuous semi-martingales to obtain growth estimates and study solution of a stochastic differential equation (SDE) by using the technique of random time change. Later, by using Metivier–Pellaumail inequality, the solutions to SDEs driven by general semi-martingales are discussed. The connection of the theory with mathematical finance is briefly discussed and the book has extensive treatment on the representation of martingales as stochastic integrals and a second fundamental theorem of asset pricing. Intended for undergraduate- and beginning graduate-level students in the engineering and mathematics disciplines, the book is also an excellent reference resource for applied mathematicians and statisticians looking for a review of the topic.

Statistical Inference for Ergodic Diffusion Processes
Statistical Inference for Ergodic Diffusion Processes

Author: Yury A. Kutoyants

Publisher: Springer Science & Business Media

Published: 2013-03-09

Total Pages: 493

ISBN-13: 144713866X

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The first book in inference for stochastic processes from a statistical, rather than a probabilistic, perspective. It provides a systematic exposition of theoretical results from over ten years of mathematical literature and presents, for the first time in book form, many new techniques and approaches.

Séminaire de Probabilités XXXVIII
Séminaire de Probabilités XXXVIII

Author: Michel Émery

Publisher: Springer

Published: 2004-11-15

Total Pages: 402

ISBN-13: 3540314490

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Besides a series of six articles on Lévy processes, Volume 38 of the Séminaire de Probabilités contains contributions whose topics range from analysis of semi-groups to free probability, via martingale theory, Wiener space and Brownian motion, Gaussian processes and matrices, diffusions and their applications to PDEs. As do all previous volumes of this series, it provides an overview on the current state of the art in the research on stochastic processes.

Séminaire de Probabilités XL
Séminaire de Probabilités XL

Author: Catherine Donati-Martin

Publisher: Springer

Published: 2007-07-25

Total Pages: 485

ISBN-13: 3540711899

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Who could have predicted that the S ́ eminaire de Probabilit ́ es would reach the age of 40? This long life is ?rst due to the vitality of the French probabil- tic school, for which the S ́ eminaire remains one of the most speci?c media of exchange. Another factor is the amount of enthusiasm, energy and time invested year after year by the R ́ edacteurs: Michel Ledoux dedicated himself tothistaskuptoVolumeXXXVIII,andMarcYormadehisnameinseparable from the S ́ eminaire by devoting himself to it during a quarter of a century. Browsing among the past volumes can only give a faint glimpse of how much is owed to them; keeping up with the standard they have set is a challenge to the new R ́ edaction. In a changing world where the status of paper and ink is questioned and where, alas, pressure for publishing is increasing, in particular among young mathematicians, we shall try and keep the same direction. Although most contributions are anonymously refereed, the S ́ eminaire is not a mathema- cal journal; our ?rst criterion is not mathematical depth, but usefulness to the French and international probabilistic community. We do not insist that everything published in these volumes should have reached its ?nal form or be original, and acceptance–rejection may not be decided on purely scienti?c grounds.

Partially Observable Linear Systems Under Dependent Noises
Partially Observable Linear Systems Under Dependent Noises

Author: Agamirza E. Bashirov

Publisher: Birkhäuser

Published: 2012-12-06

Total Pages: 358

ISBN-13: 3034880227

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This book discusses the methods of fighting against noise. It can be regarded as a mathematical view of specific engineering problems with known and new methods of control and estimation in noisy media. From the reviews: "An excellent reference on the complete sets of equations for the optimal controls and for the optimal filters under wide band noises and shifted white noises and their possible application to navigation of spacecraft." --MATHEMATICAL REVIEWS