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Measure Theory and Filtering: Introduction with Applications (Cambridge Series in Statistical and Probabilistic Mathematics) - Hardcover

Book 12 of 64: Cambridge Series in Statistical and Probabilistic Mathematics

Aggoun, Lakhdar; Elliott, Robert J.

 
9780521838030: Measure Theory and Filtering: Introduction with Applications (Cambridge Series in Statistical and Probabilistic Mathematics)
Hardcover
ISBN 10: 0521838037 ISBN 13: 9780521838030
Publisher: Cambridge University Press, 2004

Synopsis

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.

"synopsis" may belong to another edition of this title.

About the Author

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

Review

"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

"About this title" may belong to another edition of this title.

Publisher
Cambridge University Press
Publication date
2004
Language
English
ISBN 10 
0521838037
ISBN 13 
9780521838030
Binding
Hardcover
Edition number
1
Number of pages
270