Martingales in Filtering and Geometry
Language: en
Pages: 108

Martingales in Filtering and Geometry

Authors: Robert Otto Bauer
Categories:
Type: BOOK - Published: 1997 - Publisher:

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The Geometry of Filtering
Language: en
Pages: 179

The Geometry of Filtering

Authors: K. David Elworthy
Categories: Mathematics
Type: BOOK - Published: 2010-11-27 - Publisher: Springer Science & Business Media

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Filtering is the science of nding the law of a process given a partial observation of it. The main objects we study here are di usion processes. These are natur
Nonlinear Filtering and Smoothing
Language: en
Pages: 353

Nonlinear Filtering and Smoothing

Authors: Venkatarama Krishnan
Categories: Science
Type: BOOK - Published: 2013-10-17 - Publisher: Courier Corporation

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Most useful for graduate students in engineering and finance who have a basic knowledge of probability theory, this volume is designed to give a concise underst
Set-Indexed Martingales
Language: en
Pages: 228

Set-Indexed Martingales

Authors: B.G. Ivanoff
Categories: Mathematics
Type: BOOK - Published: 1999-10-27 - Publisher: CRC Press

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Set-Indexed Martingales offers a unique, comprehensive development of a general theory of Martingales indexed by a family of sets. The authors establish-for the
On the Geometry of Diffusion Operators and Stochastic Flows
Language: en
Pages: 121

On the Geometry of Diffusion Operators and Stochastic Flows

Authors: K.D. Elworthy
Categories: Mathematics
Type: BOOK - Published: 2007-01-05 - Publisher: Springer

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Stochastic differential equations, and Hoermander form representations of diffusion operators, can determine a linear connection associated to the underlying (s