Statistics And Control Of Stochastic Processes: The Liptser Festschrift

Released on by Yu M Kabanov
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  • Statistics And Control Of Stochastic Processes: The Liptser Festschrift Book Detail

  • Author : Yu M Kabanov
  • Release Date : 1997-12-04
  • Publisher : World Scientific
  • Genre :
  • Pages : 378
  • ISBN 13 : 9814545503
  • File Size : 81,81 MB
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Statistics And Control Of Stochastic Processes: The Liptser Festschrift by Yu M Kabanov PDF Summary

Book Description: 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.

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