ENGLISH

Measure theory and filtering: introduction and applications

By Robert J. Elliott , Lakhdar Aggoun

Book information

Publisher
Cambridge University Press
Year
2004
ISBN
0521838037, 9780521838030, 9780511231759
Open Library ID
OL22603217M
Language
english
Format
PDF
Filesize
1 MB (1219599 bytes)
Series
Cambridge Series in Statistical and Probabilistic Mathematics
Edition
CUP
Pages
270\270
Library
Kolxo3
Scanned
yes
Time added
2009-07-20 03:45:11
Приборостроение;Обработка сигналов

Description

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.

Similar books