Translations of Mathematical Monographs 1993; 183 pp; softcover Volume: 120 ISBN10: 0821843583 ISBN13: 9780821843581 List Price: US$80 Member Price: US$64 Order Code: MMONO/120.S
 Aimed at students and researchers in mathematics, communications engineering, and economics, this book describes the probabilistic structure of a Gaussian process in terms of its canonical representation (or its innovation process). Multiple Markov properties of a Gaussian process and equivalence problems of Gaussian processes are clearly presented. The authors' approach is unique, involving causality in time evolution and informationtheoretic aspects. Because the book is selfcontained and only requires background in the fundamentals of probability theory and measure theory, it would be suitable as a textbook at the senior undergraduate or graduate level. Readership Seniorlevel and graduatelevel mathematics students. Students and researchers in communications engineering. Researchers in economics. Reviews "Each part of the exposition progresses from the simple to the more sophisticated, thus avoiding the perils of plunging the reader straight into the deep waters of the more advanced theory. No specialized knowledge is required on the part of the reader, other than a good command of the general theory of probability."  Mathematical Reviews Table of Contents  Foundations of probability theory and limit theorems
 Systems of Gaussian random variables
 Stationary Gaussian processes and their representations
 Canonical representation of Gaussian processes: General theory and multiplicity
 Multiple Markov Gaussian processes
 Equivalence of Gaussian processes
 Stochastic integrals and martingales
