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Measure Theory and Filtering: Introduction and Applications by Lakhdar Aggoun, Robert J. Elliott (Paperback, 2012)

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Product Information

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.

Product Identifiers

Publisher
Cambridge University Press
ISBN-13
9781107410718
eBay Product ID (ePID)
117553933

Product Key Features

Author
Lakhdar Aggoun, Robert J. Elliott
Publication Name
Measure Theory and Filtering: Introduction and Applications
Format
Paperback
Language
English
Subject
Engineering & Technology, Mathematics
Publication Year
2012
Type
Textbook
Number of Pages
270 Pages

Dimensions

Item Height
244mm
Item Width
170mm
Item Weight
440g

Additional Product Features

Title_Author
Lakhdar Aggoun, Robert J. Elliott
Series Title
Cambridge Series in Statistical and Probabilistic Mathematics
Country/Region of Manufacture
United Kingdom

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Measure Theory and Filtering: Introduction and Applications by Lakhdar Aggoun, Robert J. Elliott (Paperback, 2012)

About this product

Product Information

Product Identifiers

Product Key Features

Dimensions

Additional Product Features

Best Selling in Adult Learning & University

The Weed Forager's Handbook: A Guide to Edible and Medicinal Weeds in Australia by Adam Grubb, Annie Raser-Rowland (2012, Paperback)

Australian Native Bee Book: Keeping Stingless Bee Hives for Pets, Pollination and Sugarbag Honey by Tim Heard (Paperback, 2015)

The Falsification of History: Our Distorted Reality by John Hamer (Paperback, 2013)

Permaculture: A Designer's Manual by Bill Mollison (Hardcover, 1988)

In-Basket Case Studies by Guy Adamson (Paperback, 1986)

Empire of the Summer Moon: Quanah Parker and the Rise and Fall of the Comanches, the Most Powerful Indian Tribe in American History by S.C. Gwynne (Paperback, 2011)

Botanical Field Guide by Stefan Mager (Fold-out book or chart, 2021)

Save on Adult Learning & University

Netter Atlas of Human Anatomy: Classic Regional Approach

The Red Book: Liber Novus by Carl Gustav Jung (English) Hardcover Book

Sally Fallon Morell Thomas S. Cowan The Contagion Myth (Hardback) (US IMPORT)

Steven Holzner Physics Essentials For Dummies (Paperback)

Havard's Nursing Guide to Drugs

T. Jared Bunch Matthew LaPlante John D. Day The AFib Cure (Paperback)

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