Statistics of Random Processes I
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Published By Springer New York

9781475716672, 9781475716658

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Nonnegative supermartingales and martingales, and the Girsanov theorem

Statistics of Random Processes I ◽

10.1007/978-1-4757-1665-8_7 ◽

1977 ◽

pp. 207-235

Author(s):

R. S. Liptser ◽

A. N. Shiryayev

Keyword(s):

Girsanov Theorem

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Square integrable martingales, and structure of the functionals on a Wiener process

Statistics of Random Processes I ◽

10.1007/978-1-4757-1665-8_6 ◽

1977 ◽

pp. 152-206

Author(s):

R. S. Liptser ◽

A. N. Shiryayev

Keyword(s):

Wiener Process

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Optimal filtering, interpolation and extrapolation of Markov processes with a countable number of states

Statistics of Random Processes I ◽

10.1007/978-1-4757-1665-8_10 ◽

1977 ◽

pp. 329-350 ◽

Cited By ~ 1

Author(s):

R. S. Liptser ◽

A. N. Shiryayev

Keyword(s):

Markov Processes ◽

Optimal Filtering ◽

Countable Number

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Absolute continuity of measures corresponding to the Ito processes and processes of the diffusion type

Statistics of Random Processes I ◽

10.1007/978-1-4757-1665-8_8 ◽

1977 ◽

pp. 236-296

Author(s):

R. S. Liptser ◽

A. N. Shiryayev

Keyword(s):

Absolute Continuity ◽

Diffusion Type

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The Wiener process, the stochastic integral over the Wiener process, and stochastic differential equations

Statistics of Random Processes I ◽

10.1007/978-1-4757-1665-8_5 ◽

1977 ◽

pp. 82-151

Author(s):

R. S. Liptser ◽

A. N. Shiryayev

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Wiener Process ◽

Stochastic Integral

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Introduction

Statistics of Random Processes I ◽

10.1007/978-1-4757-1665-8_1 ◽

1977 ◽

pp. 1-10 ◽

Cited By ~ 4

Author(s):

R. S. Liptser ◽

A. N. Shiryayev

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Martingales and semimartingales: continuous time

Statistics of Random Processes I ◽

10.1007/978-1-4757-1665-8_4 ◽

1977 ◽

pp. 55-81

Author(s):

R. S. Liptser ◽

A. N. Shiryayev

Keyword(s):

Continuous Time ◽

Martingales And Semimartingales

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Martingales and semimartingales: discrete time

Statistics of Random Processes I ◽

10.1007/978-1-4757-1665-8_3 ◽

1977 ◽

pp. 37-54

Author(s):

R. S. Liptser ◽

A. N. Shiryayev

Keyword(s):

Discrete Time ◽

Martingales And Semimartingales

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Optimal linear nonstationary filtering

Statistics of Random Processes I ◽

10.1007/978-1-4757-1665-8_11 ◽

1977 ◽

pp. 351-380

Author(s):

R. S. Liptser ◽

A. N. Shiryayev

Keyword(s):

Optimal Linear

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General equations of optimal nonlinear filtering, interpolation and extrapolation of partially observable random processes

Statistics of Random Processes I ◽

10.1007/978-1-4757-1665-8_9 ◽

1977 ◽

pp. 297-328

Author(s):

R. S. Liptser ◽

A. N. Shiryayev

Keyword(s):

Nonlinear Filtering ◽

Random Processes ◽

Partially Observable ◽

Optimal Nonlinear Filtering

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