1644733
9783540639299
These volumes cover non-linear filtering (prediction and smoothing) theory and its applications to the problem of optimal estimation, control with incomplete data, information theory, and sequential testing of hypothesis. Also presented is the theory of martingales, of interest to those who deal with problems in financial mathematics. These editions include new material, expanded chapters, and comments on recent progress in the field.Albert N. Shiryaev is the author of 'Statistics of Random Processes I', published 2000 under ISBN 9783540639299 and ISBN 3540639292.
[read more]