Measure Theory and Filtering: An Introduction With Applications

Lakhdar Aggoun/ Robert J. Elliott

ISBN 10: 0521838037 / ISBN 13: 9780521838030

Published by Cambridge Univ Pr, 2004

About this Item

337 pages. 10.25x7.25x1.00 inches. In Stock.

Seller Inventory # x-0521838037

Bibliographic Details

• Title: Measure Theory and Filtering: An Introduction With Applications
• Publisher: Cambridge Univ Pr
• Publication Date: 2004
• Language: English
• ISBN 10: 0521838037
• ISBN 13: 9780521838030
• Binding: Hardcover
• Condition: Brand 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.