Vidyadhar S Mandrekar, Leszek Gawarecki

Stochastic Analysis for Gaussian Random Processes and Fields

With Applications

• Gebundenes Buch

Produktbeschreibung

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.

Produktdetails

• Verlag: CRC Press
• Seitenzahl: 202
• Erscheinungstermin: 23. Juni 2015
• Englisch
• Abmessung: 234mm x 157mm x 15mm
• Gewicht: 680g
• ISBN-13: 9781498707817
• ISBN-10: 1498707815
• Artikelnr.: 42803151

Autorenporträt

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. Leszek Gawarecki is head of the Department of Mathematics at Kettering University. He earned a PhD in statistics from Michigan State University. His research interests include stochastic analysis and stochastic ordinary and partial differential equations.

Inhaltsangabe

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.