Albert N. Shiryaev

Robert S. Liptser

"Written by two renowned experts in the field, the books under review contain a thorough and insightful treatment of the fundamental underpinnings of various aspects of stochastic processes as well as a wide range of applications. Providing clear exposition, deep mathematical results, and superb technical representation, they are masterpieces of the subject of stochastic analysis and nonlinear filtering....These books...will become classics." --SIAM REVIEW

Applications

Statistics of Random Processes II

Alʹbert Nikolaevich Shiri︠a︡ev

Robert Ševilevič Lipcer

Alʹbert Nikolaevič Širâev

These volumes cover non-linear filtering (prediction and smoothing) theory and its applications to the problem of optimal estimation, control with incomplete data, information theory, and sequential testing of hypothesis. Also presented is the theory of martingales, of interest to those who deal with problems in financial mathematics. These editions include new material, expanded chapters, and comments on recent progress in the field.

Robert S. Liptser

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