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Könyv Measure Theory and Filtering Lakhdar AggounRobert J. Elliott

Measure Theory and Filtering

Introduction and Applications

Szerző: Lakhdar AggounRobert J. Elliott
Nyelv: Angol
Kötés: Kemény kötésű
Kiadó: Cambridge University Press
Elérhetőség: Beszállítói készleten
Küldés 10-16 napon belül
43 580 Ft
This book was published in 2004. The estimation of noisily observed states from a sequence of data h...

Információk a könyvről

Szerző
Lakhdar AggounRobert J. Elliott
Nyelv
Angol
Kötés
Könyv - Kemény kötésű
Kiadva
2004
oldal
270
EAN
9780521838030
ISBN
0521838037
Enbook ID
02046240
Kiadó
Cambridge University Press
Súly
664
Méretek
178 x 262 x 23

Teljes leírás

This book was published in 2004. 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.

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