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Avtomatika i Telemekhanika, 1988, Issue 11, Pages 169–176 (Mi at6640)  
Methodical Problems of Control Theory

Application of martingale methods

R. Sh. Liptser, A. I. Yashin

Moscow
Full-text PDF (984 kB)
Abstract: The range of applications where martingale methods may prove useful includes pricing, life insurance, adaptive filtering, successive check of assumptions, Gaussian diffuse approximation in bulk service models, consistency of estimates in the method of least squares, and software reliability.

Received: 13.04.1987
Bibliographic databases:
Document Type: Article
UDC: 519.216.8
Language: Russian
Citation: R. Sh. Liptser, A. I. Yashin, “Application of martingale methods”, Avtomat. i Telemekh., 1988, no. 11, 169–176; Autom. Remote Control, 49:11 (1988), 1526–1531
Citation in format AMSBIB
\Bibitem{LipYas88}
\by R.~Sh.~Liptser, A.~I.~Yashin
\paper Application of martingale methods
\jour Avtomat. i Telemekh.
\yr 1988
\issue 11
\pages 169--176
\mathnet{http://mi.mathnet.ru/at6640}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=977153}
\zmath{https://zbmath.org/?q=an:0701.62011}
\transl
\jour Autom. Remote Control
\yr 1988
\vol 49
\issue 11
\pages 1526--1531
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