Statistics and control of stochastic processes : the Liptser festschrift
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Bibliographic Information
Statistics and control of stochastic processes : the Liptser festschrift
World Scientific, c1997
- Other Title
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Proceedings of Steklov Mathematical Institute Seminar
Steklov Mathematical Institute, 1995-1996
Available at 13 libraries
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Spine title
Includes bibliographies
Description and Table of Contents
Description
This volume contains papers presented at the Steklov Seminar on Statistics and Control of Stochastic Processes. For the past three decades, the seminar has determined the development, in a number of important directions, of the theory of random processes not only in the USSR (now Russia) but in the whole world. It was organised by A N Shiryaev in collaboration with N V Krylov and R Sh Liptser. It started off with optimal stopping and filtering with applications to engineering, and very soon extended its interests to more general problems of stochastic control, causal and anticipating stochastic calculus, limit theorems for semimartingales, martingale methods in queueing theory, foundations of statistics of random processes and, in recent years, mathematical finance. Many studies, for example of stochastic PDEs or extended stochastic integrals, anticipated largely Western works.The contributions in this book are devoted to the hottest topics and united by a martingale methodology which was the key idea of the seminar.
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