Verkauf durch Sack Fachmedien

Mandrekar / Gawarecki

Stochastic Analysis for Gaussian Random Processes and Fields

With Applications

Medium: Buch
ISBN: 978-1-4987-0781-7
Verlag: CRC Press
Erscheinungstermin: 23.06.2015
Lieferfrist: bis zu 10 Tage

Stochastic Analysis for Gaussian Random Processes and Fields: With Applications presents Hilbert space methods to study deep analytic properties connecting probabilistic notions. In particular, it studies Gaussian random fields using reproducing kernel Hilbert spaces (RKHSs).

The book begins with preliminary results on covariance and associated RKHS before introducing the Gaussian process and Gaussian random fields. The authors use chaos expansion to define the Skorokhod integral, which generalizes the Itô integral. They show how the Skorokhod integral is a dual operator of Skorokhod differentiation and the divergence operator of Malliavin. The authors also present Gaussian processes indexed by real numbers and obtain a Kallianpur–Striebel Bayes' formula for the filtering problem. After discussing the problem of equivalence and singularity of Gaussian random fields (including a generalization of the Girsanov theorem), the book concludes with the Markov property of Gaussian random fields indexed by measures and generalized Gaussian random fields indexed by Schwartz space. The Markov property for generalized random fields is connected to the Markov process generated by a Dirichlet form.


Produkteigenschaften


  • Artikelnummer: 9781498707817
  • Medium: Buch
  • ISBN: 978-1-4987-0781-7
  • Verlag: CRC Press
  • Erscheinungstermin: 23.06.2015
  • Sprache(n): Englisch
  • Auflage: 1. Auflage 2015
  • Serie: Chapman & Hall/CRC Monographs on Statistics and Applied Probability
  • Produktform: Gebunden
  • Gewicht: 680 g
  • Seiten: 202
  • Format (B x H x T): 157 x 234 x 15 mm
  • Ausgabetyp: Kein, Unbekannt
Autoren/Hrsg.

Autoren

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.