Exponential Families of Stochastic Processes

Written by two of the leading researchers in the field, this will be the first book-treatment of the literature on exponential families of stochastic processes. It will be of interest to theoretical statisticians and probabilists.

The first book to cover exponential families of stochastic processes * The statistical concepts are explained carefully so that probabilists with only a basic background in statistics can use the book to get into statistical inference for stochastic processes Includes many results from the authors' progress in the field

Inhalt
Natural Exponential Families of Léevy Processes.- Definitions and Examples.- First Properties.- Random Time Transformations.- Exponential Families of Markov Processes.- The Envelope Families.- Likelihood Theory.- Linear Stochastic Differential Equations with Time Delay.- Sequential Methods.- The Semimartingale Approach.- Alternative Definitions.