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Item Details
Title: MEASURE THEORY AND FILTERING
INTRODUCTION AND APPLICATIONS
By: Lakhdar Aggoun, Robert J. Elliott
Format: Paperback

List price: £46.99
Our price: £42.29
Discount:
10% off
You save: £4.70
ISBN 10: 1107410711
ISBN 13: 9781107410718
Availability: Usually dispatched within 1-3 weeks.
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Publisher: CAMBRIDGE UNIVERSITY PRESS
Pub. date: 28 May, 2012
Series: Cambridge Series in Statistical and Probabilistic Mathematics 15
Pages: 270
Description: This book is a resource for non-statisticians implementing filtering methods, which covers applications in finance, genetics and population.
Synopsis: The estimation of noisily observed states from a sequence of data has traditionally incorporated ideas from Hilbert spaces and calculus-based probability theory. As conditional expectation is the key concept, the correct setting for filtering theory is that of a probability space. Graduate engineers, mathematicians and those working in quantitative finance wishing to use filtering techniques will find in the first half of this book an accessible introduction to measure theory, stochastic calculus, and stochastic processes, with particular emphasis on martingales and Brownian motion. Exercises are included. The book then provides an excellent users' guide to filtering: basic theory is followed by a thorough treatment of Kalman filtering, including recent results which extend the Kalman filter to provide parameter estimates. These ideas are then applied to problems arising in finance, genetics and population modelling in three separate chapters, making this a comprehensive resource for both practitioners and researchers.
Illustrations: Illustrations
Publication: UK
Imprint: Cambridge University Press
Returns: Returnable
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