Fourier analysis and stochastic processes

DOI10.1007/978-3-319-09590-5MaRDI QIDQ405562zbMATH OpenOpenAlexFDO

Authors Pierre Brémaud

Publication date 5 September 2014

Published in Universitext (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-09590-5

Mathematics Subject Classification ID

Fourier coefficients, Fourier series of functions with special properties, special Fourier series (42A16) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Stochastic processes (60Gxx)

Review text

The classical theory of Fourier analysis underlies the Fourier analysis of stochastic processes, and this has led the author to provide, in the present work, a unified treatment of these disciplines. This useful treatise begins with chapters on the Fourier analysis of functions and the Fourier theory of probability distributions, and then proceeds to discussions, in separate chapters, of the Fourier analysis of stochastic processes, the Fourier analysis of time series, and power spectra of point processes. Since for this study familiarity with the theory of measure and integration is a mathematical prerequisite, the author has included, in an appendix, what amounts to a short course on that ancient and honorable subject.

Recommendations

• Linear Fourier and stochastic analysis
• Stationary stochastic processes. Theory and applications.
• Stochastic processes. Harmonizable theory
• scientific article; zbMATH DE number 1829849
• A first course in statistics for signal analysis

Cited in

(17)

• Linear Fourier and stochastic analysis
• Analysis of autocorrelation function of stochastic processes by F-transform of higher degree
• Stationary stochastic processes. Theory and applications.
• scientific article; zbMATH DE number 4133228 (Why is no real title available?)
• Applications of the Fourier transform to probability theory and stochastic processes
• Fourier analysis of periodic weakly stationary processes: a note on Slutsky's observation
• Optimal control of partially observable piecewise deterministic Markov processes
• A stochastic fractional Laplace equation driven by colored noise on bounded domain, and its covariance functional
• Spectrum of SYK model III: Large deviations and concentration of measures
• Mathematical Analysis of Random Noise
• Mathematical Analysis of Random Noise
• Oscillating neural circuits: Phase, amplitude, and the complex normal distribution
• On estimating the structure factor of a point process, with applications to hyperuniformity
• Harmonic and heat flow representations of the Gaussian white noise
• An interpretation of the Brownian bridge as a physics-informed prior for the Poisson equation
• Estimating the hyperuniformity exponent of spatial point processes
• Some aging properties involved with compound geometric distributions

This page was built for publication: Fourier analysis and stochastic processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q405562)