Albert N. Shiryaev

Robert S. Liptser

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.

Alʹbert Nikolaevič Širâev

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