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Statistics of Random Processes II. Applications
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Statistics of Random Processes II. Applications Liptser, R. S., Shiryaev, A. N. springer original copy
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Stochastic Mechanics
Random
Media
Signal Processing
and
Image Synthesis
Mathematical Economics
and
Finance
Stochastic Optimization
Stochastic Control
Applications
of
Mathematics
Stochastic Modelling
and
Applied Probability
6
Edited by I. Karatzas
M.
Yor
Advisory Board
P.
Bremaud
E.
Carlen
W.
Fleming
D.
Geman
G.
Grimmett
G.
Papanicolaou
J.
Scheinkman
Springer-
Verlag
Berlin
Heidelberg
GmbH

Applications
of
Mathematics
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and
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197
5)
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4 Borovkov, Stochastic Processes in Queueing Theory (1976)
5 Liptser/Shiryaev, Statistics
of
Random Processes
I:
General Theory
(1977, 2nd. ed.
2001)
6 Liptser/Shiryaev, Statistics
of
Random Processes II: Applications
(1978,2nd.ed.2001)
7
V
orob' ev, Game Theory: Lectures for Economists
and
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8 Shiryaev, Optimal Stopping
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1978)
9 Ibragimov/Rozanov, Gaussian Random Processes (1978)
10
Wonham, Linear Multivariable Control:
A Geometric Approach
(1974,3rd.ed.
1985)
II
Hida, Brownian Motion (1980)
12
Hestenes,
Conjugate Direction Methods
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Kallianpur, Stochastic Filtering Theory (1980)
14
Krylov,
Controlled
Diffusion Processes (1980)
15
Prabhu,
Stochastic
Storage
Processes: Queues, Insurance Risk,
and
Dams ( 1980)
16
Ibragimov/Has'minskii, Statistical Estimation: Asymptotic Theory (1981)
17
Cesari,
Optimization: Theory
and
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18
Elliott, Stochastic
Calculus
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19
Marchuk/Shaidourov, Difference Methods
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20
Hi jab, Stabilization
of
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( 1986)
21
Protter, Stochastic Integration and Differential Equations (1990)
22
Benveniste/Metivier/Priouret, Adaptive Algorithms
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23
Kloeden/Platen, Numerical Solution
of
Stochastic Differential Equations
(1992, corr. 3rd. printing
1999)
24
Kushner/Dupuis, Numerical Methods for Stochastic
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Problems
in Continuous Time (1992)
25
Fleming/Soner,
Controlled
Markov Processes
and
Viscosity Solutions ( 1993)
26
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of
Queueing Theory ( 1994)
27
Winkler, Image Analysis, Random Fields
and
Dynamic Monte Carlo Methods
(1995)
28
Kalpazidou,
Cycle
Representations of Markov Processes (1995)
29
Elliott/ Aggoun/Moore, Hidden Markov Models: Estimation
and
Control {1995)
30
Hernandez-Lerma/Lasserre, Discrete-Time Markov
Control
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31
Devroye/Gyorfi/Lugosi, A Probabilistic Theory
of
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32
Maitra/Sudderth, Discrete Gambling
and
Stochastic Games (1996)
33
Embrechts/Kliippelberg/Mikosch, Modelling Extremal Events for
Insurance
and
Finance (1997, corr. 2nd printing 1999)
34
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1997)
35
Kushner/Yin, Stochastic Approximation Algorithms
and
Applications (1997)
36
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Markov Chains
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38
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39
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40
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41
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42
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Control
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43
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Controls. Hamiltonian
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44
Serfozo, Introduction to Stochastic Networks (1999)
45
Steele, Invitation to Stochastic
Calculus (2000)

Robert
S.
Liptser Albert
N.
Shiryaev
Statistics
of
Random
Processes
II. Applications
Translated
by
A.
B.
Aries
Translation Editor: Stephen
S.
Wilson
Second, Revised
and
Expanded Edition
Springer

Authors
Robert
S.
Liptser
Tel Aviv University
Department
of
Electrical Engineering Systems
Ramat Aviv, P.O. Box 39040
69978 Tel Aviv, Israel
e-mail: liptser@eng.tau.ac.il
Translation Editor
Stephen
S.
Wilson
31
Harp Hill
Albert N. Shiryaev
Steklov Mathematical Institute,
Russian Academy
of
Sciences
Gubkina
8,
117966 Moscow, Russia
e-mail: shiryaev@ genesis.mi.ras.ru
Cheltenham, Gloucestershire,
GL52
6PY, United Kingdom
e-mail: techtrans@cwcom.net
Managing Editors
I. Karatzas
Departments
of
Mathematics
and
Statistics
Columbia University
New York,
NY
10027,
USA
M.Yor
CNRS, Laboratoire de Probabilites
Universite Pierre et Marie Curie
4 Place Jussieu,
Tour
56
F-75230 Paris Cedex os, France
Mathematics Subject Classification (2ooo):
6oGxx, 6oHxx, 6oJxx, 62Lxx, 62Mxx, 62Nxx, 93Exx, 94A05
Title
of
the Russian Original Edition: Statistika slucha!nykh protsessov.
Nauka, Moscow,
1974
Cover
pattern
by courtesy
of
Rick Durrett (Cornell University, Ithaca)
Library
of
Congress Cataloging-in-Publication Data
Liptser,
R.
Sh. (Robert Shevilevich) [Statistika sluchainykh protsessov. English] Statistics
of
random
processes I Robert Liptser, Albert
N.
Shiryaev; translated
by
A.
B.
Aries; translation editor, Stephen
S.
Wilson.-
2nd, rev. and expanded ed. p.
em.-
(Applications
of
mathematics,
ISSN
0172-4568; 5-6)
Includes bibliographical references and indexes. Contents:
1.
General
theory-
2.
Applications.
ISBN 978-3-642-08365-5 ISBN 978-3-662-10028-8 (eBook)
DOI 10.1007/978-3-662-10028-8
1.
Stochastic processes.
2.
Mathematical statistics. I. Shiriaev, Al'bert Nikolaevich. II. Title
III.
Series
QA274.L5713
2ooo 519.2'3-dc21
ISSN
0172-4568
ISBN
978-3-642-08365-5
This
work
is subject to copyright. All rights are reserved,
whether
the
whole
or
part
of
the
material is concerned, specifically the rights
of
translation, reprinting, reuse
of
illustrations,
re~itation,
broadcasting, reproduction
on
microfilm
or
in
any
other
way,
and
storage
in
data
banks. Duplication
of
this publication
or
parts
thereof
is
permitted
only
under
the
provisions
of
the
German Copyright
Law
of
September
9, 1965,
in
its
current
version,
and
permission
for use
must
always
be
obtained from
Springer-Verlag
Berlin
Heidelberg
GmbH.
Violations are liable for prosecution
under
the German Copyright Law.
© Springer-Verlag Berlin Heidelberg
2001
Originally published
by
Springer-Verlag Berlin Heidelberg New York
in
2001
Softcover reprint of the hardcover 1st edition 2001
Printed
on
acid-free paper
SPIN: 10640137
41/3142CK
- 5 4 3 2 1 o
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