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

Aggoun, Lakhdar; Elliott, Robert J.

ISBN 10: 0521838037 / ISBN 13: 9780521838030

Published by Cambridge University Press, 2004

About this Item

Seller Inventory # I-9780521838030

Bibliographic Details

• Title: Measure Theory and Filtering: Introduction with Applications (Cambridge Series in Statistical and Probabilistic Mathematics)
• Publisher: Cambridge University Press
• Publication Date: 2004
• Language: English
• ISBN 10: 0521838037
• ISBN 13: 9780521838030
• Binding: Hardcover
• Condition: New

About this title

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 the Author

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