Measure Theory and Filtering: Introduction and Applications / Edition 1

by Lakhdar Aggoun, Robert J. Elliott

Overview

Aimed primarily at those outside of the field of statistics, this book not only provides an accessible introduction to measure theory, stochastic calculus, and stochastic processes, with particular emphasis on martingales and Brownian motion, but develops into an excellent user's guide to filtering. Including exercises for students, it will be a complete resource for engineers, signal processing researchers, or anyone with an interest in practical implementation of filtering techniques, in particular, the Kalman filter. Three separate chapters concentrate on applications arising in finance, genetics, and population modelling.

Product Details

ISBN-13:	9780521838030
Publisher:	Cambridge University Press
Publication date:	09/13/2004
Series:	Cambridge Series in Statistical and Probabilistic Mathematics , #15
Edition description:	New Edition
Pages:	270
Product dimensions:	7.24(w) x 10.31(h) x 1.02(d)

About the Author

Lakhdar Aggoun is an Associate Professor in the Department of Mathematics and Statistics at Sultan Qabos University, Oman.

Robert Elliott is the RBC Financial Group Professor of Finance at the University of Calgary, Canada.

Table of Contents

Part I. Theory: 1. Basic probability concepts; 2. Stochastic processes; 3. Stochastic calculus; 4. Change of measures; Part II. Applications: 5. Kalman filtering; 6. Financial applications; 7. A genetics model; 8. Hidden populations.

Editorial Reviews

"It is well written and self-contained. I am convinced that it will raise a lot of interest and remain a reference for a long time to come." Alain Bensoussan, University of Texas at Dallas

From the Publisher