Measure Theory and Filtering

By Lakhdar Aggoun, Robert James Elliott, Robert J. Elliott

Book Overview

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.

• Format: Hardcover
• Language: English
• ISBN: 0521838037
• ISBN13: 9780521838030
• Release Date: September 2004
• Publisher: Cambridge University Press
• Length: 270 Pages
• Weight: 1.45 lbs.
• Dimensions: 0.9" x 7.1" x 10.1"