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Stochastic Analysis for Gaussian Random Processes and Fields: With Applications
Hardcover
Series: Chapman & Hall/CRC Monographs on Statistics and Applied Prob
General MathematicsProbability & Statistics
ISBN13: 9781498707817
Publisher: CRC Press
Published: Jun 23 2015
Pages: 202
Weight: 1.50
Height: 0.60 Width: 6.20 Depth: 9.20
Language: English
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.
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