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Theory and Statistical Applications of Stochastic Processes

Theory and Statistical Applications of Stochastic Processes by Yuliya Mishura
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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.

Wiley; November 2017
400 pages; ISBN 9781119476597
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Title: Theory and Statistical Applications of Stochastic Processes
Author: Yuliya Mishura; Georgiy Shevchenko
 
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