Measure Theory and Filtering: Introduction and Applications / Edition 1

Measure Theory and Filtering: Introduction and Applications / Edition 1

by Lakhdar Aggoun, Robert J. Elliott
     
 

ISBN-10: 0521838037

ISBN-13: 9780521838030

Pub. Date: 06/28/2004

Publisher: Cambridge University Press

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

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:
06/28/2004
Series:
Cambridge Series in Statistical and Probabilistic Mathematics Series, #15
Edition description:
New Edition
Pages:
268
Product dimensions:
6.97(w) x 9.96(h) x 1.02(d)

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.

Customer Reviews

Average Review:

Write a Review

and post it to your social network

     

Most Helpful Customer Reviews

See all customer reviews >