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Item Details
| Title:
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MEASURE THEORY AND FILTERING
INTRODUCTION AND APPLICATIONS |
| By: |
Lakhdar Aggoun, Robert J. Elliott |
| Format: |
Hardback |
| List price:
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£74.00 |
| Our price: |
£64.75 |
| Discount: |
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| You save:
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£9.25 |
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| ISBN 10: |
0521838037 |
| ISBN 13: |
9780521838030 |
| Availability: |
Usually dispatched within 1-3 weeks.
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| Stock: |
Currently 0 available |
| Publisher: |
CAMBRIDGE UNIVERSITY PRESS |
| Pub. date: |
1 June, 2004 |
| Series: |
Cambridge Series in Statistical and Probabilistic Mathematics No. 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: |
10 tables 95 exercises |
| Publication: |
UK |
| Imprint: |
Cambridge University Press |
| Returns: |
Returnable |
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A celebratory, inclusive and educational exploration of Ramadan and Eid al-Fitr for both children that celebrate and children who want to understand and appreciate their peers who do.
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