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
Language
english
Format
PDF
Filesize
2 MB (1709020 bytes)
Series
Cambridge Series in Statistical and Probabilistic Mathematics
Pages
270\270
Scanned
yes
Time added
2010-10-13 10:14:08

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.

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