Bücher online kaufen
Stochastic Analysis for Gaussian Random Processes and Fields
With Applications
Langbeschreibung
This monograph presents Hilbert space methods to study deep analytic properties connecting probabilistic notions. In particular, the authors study Gaussian random fields using reproducing kernel Hilbert spaces (RKHSs). They explain how covariances are related to RKHSs and examine the Bayes' formula, the filtering and analytic problem related to fractional Brownian motion, and equivalence and singularity of Gaussian random fields. The book also describes applications in finance and spatial statistics and presents results on Dirichlet forms and associated Markov processes.
Inhaltsverzeichnis
Covariances and Associated Reproducing Kernel Hilbert Spaces. Gaussian Random Fields. Stochastic Integration for Gaussian Random Fields. Skorokhod and Malliavin Derivatives for Gaussian Random Fields. Filtering with General Gaussian Noise. Equivalence and Singularity. Markov Property of Gaussian Fields. Markov Property of Gaussian Fields and Dirichlet Forms. Bibliography. Index.
Vidyadhar Mandrekar is a professor in the Department of Statistics and Probability at Michigan State University. He earned a PhD in statistics from Michigan State University. His research interests include stochastic partial differential equations, stationary and Markov fields, stochastic stability, and signal analysis.
ISBN-13:
9781498707817
Veröffentl:
2015
Erscheinungsdatum:
23.06.2015
Seiten:
202
Autor:
Vidyadhar S Mandrekar
Gewicht:
680 g
Format:
234x157x15 mm
Sprache:
Englisch
128,50 €*
Lieferzeit: Besorgungstitel - Lieferbar innerhalb von 10 Werktageni
Alle Preise inkl. MwSt.
| zzgl. Versand