Proceedings of the Steklov Institute of Mathematics 1995; 242 pp; softcover Volume: 202 ISBN10: 0821804111 ISBN13: 9780821804117 List Price: US$229 Member Price: US$183.20 Order Code: STEKLO/202
 This book contains papers by participants in two seminars, one on Martingales and Statistics of Stochastic Processes, and one on Sequential Analysis, both of which are held at the Steklov Institute of the Russian Academy of Sciences. The papers develop the concepts of martingales and semimartingales and stochastic calculus for them, as well as their applications in statistics and control of stochastic processes. The class of semimartingalesthat is, the class of all processes which can be represented as a sum of a martingale and a process with bounded variationis rather large. It contains such important processes as Brownian motion, Poisson processes, solutions of stochastic differential equations, and others. The papers treat theoretical aspects of statistics of stochastic processes as well as specific models of stochastic processes from the standpoint of their statistics and control. The collection is intended for undergraduate and graduate students and resarchers in probability theory and mathematical statistics. Readership Undergraduates, graduates, and researchers in probability theory and mathematical statistics. Table of Contents  A. A. Afanas'ev  On estimation of a parameter for systems with physical white noise
 A. E. Bashirov  Linear filtering under dependent white and wideband noises
 A. A. Butov  Some random environments statistical problems for observable birthanddeath processes
 A. Yu. Veretennikov  On large deviations in the averaging principle for stochastic difference equations on a torus
 A. A. Gushchin  On the convergence of sequences of semimartingales and their components
 V. M. Dochviri  Optimal stopping of a nonterminating homogeneous standard Markov process on a finite time interval
 V. P. Dragalin  Optimality of generalized CUSUM procedure in quickest detection problem
 V. V. Konev and S. M. Pergamenshchikov  Guaranteed estimation of autoregression parameters on the basis of a sequential correlational method
 N. V. Krylov  On a proof of Itô's formula
 R. Sh. Liptser  The Bogolyubov averaging principle for semimartingales
 M. B. Malyutov, V. G. Spokoĭnyĭ, and L. A. H. Uaraka  On asymptotic properties of estimates under sequential design
 A. A. Novikov and B. A. Èrgashev  Limit theorems for the first passage time of autoregression process over a level
 I. V. Pavlov  Lower bound for the expected size of a learning sample for sequential pattern recognition procedures
 A. E. Rodkina  On solvability and averaging for stochastic functionaldifferential equations with respect to a semimartingale
 V. G. Spokoĭnyĭ  On construction of optimal strategies of parameter estimation for controllable systems
 A. N. Shiryaev and V. G. Spokoĭnyĭ  On the concept of \(\lambda\)convergence of statistical experiments
 A. G. Tartakovskiĭ  Asymptotically minimax multialternative sequential rule for disorder detection
 M. Hitsuda  Canonical representation of a Gaussian semimartingale and the innovation
