Measure Theory and Filtering: Introduction and Applications / Edition 1

Measure Theory and Filtering: Introduction and Applications / Edition 1

by Lakhdar Aggoun, Robert J. Elliott
     
 

Graduate engineers, mathematicians, and those working in quantitative finance wishing to use filtering techniques will find in the first half of this book an accessible introduction to measure theory, stochastic calculus, and stochastic processes, with particular emphasis on martingales and Brownian motion. Exercises are included, solutions to which are available from… See more details below

Overview

Graduate engineers, mathematicians, and those working in quantitative finance wishing to use filtering techniques will find in the first half of this book an accessible introduction to measure theory, stochastic calculus, and stochastic processes, with particular emphasis on martingales and Brownian motion. Exercises are included, solutions to which are available from www.cambridge.org. The book then provides a user's guide to filtering: basic theory is followed by a thorough treatment of Kalman filtering, including recent results that exend the Kalman filter to provide parameter estimates. These ideas are then applied to problems arising in finance, genetics, and population modelling in three separate chapters, making this a comprehensive resource for both practitioners and researchers.

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)

Meet 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

1Basic probability concepts3
2Stochastic processes38
3Stochastic calculus79
4Change of measures131
5Kalman filtering169
6Financial applications217
7A genetics model235
8Hidden populations242

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