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

Aggoun, Lakhdar; Elliott, Robert J.

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.

About 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

Edition details

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