General Theory

Name: General Theory
Brand: Springer, Berlin
SKU: 9783540639299
Price: 663.59 RON
Availability: InStock

Autor: Robert Liptser, Albert N. Shiryaev

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Legare: Copertă tare

Editura: Springer, Berlin

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The subject of these two volumes is non-linear filtering (prediction and smoothing) theory and its a...

Informații despre carte

Autor

Robert Liptser, Albert N. Shiryaev

Limbă

engleză

Legare

Carte - Copertă tare

Publicat

2001

Pagini

427

EAN

9783540639299

ISBN

3540639292

Enbook ID

01566544

Editura

Springer, Berlin

Greutate

780

Dimensiuni

163 x 241 x 31

Descriere completă

The subject of these two volumes is non-linear filtering (prediction and smoothing) theory and its application to the problem of optimal estimation, control with incomplete data, information theory, and sequential testing of hypothesis. The book is not only addressed to mathematicians but should also serve the interests of other scientists who apply probabilistic and statistical methods in their work. The theory of martingales presented in the book has an independent interest in connection with problems from financial mathematics. In the second edition, the authors have made numerous corrections, updating every chapter, adding two new subsections devoted to the Kalman filter under wrong initial conditions, as well as a new chapter devoted to asymptotically optimal filtering under diffusion approximation. Moreover, in each chapter a comment is added about the progress of recent year.

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