Articles liés à Measure Theory and Filtering: Introduction and Applications
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.
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À propos de l?auteur
Lakhdar Aggoun is an Associate Professor in the Department of Mathematics and Statistics at Sultan Qabos University, Oman. Robert Elliott is the RBC Financial Group Professor of Finance at the University of Calgary, Canada.
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Measure Theory and Filtering: Introduction and Applications: 15 (Cambridge Series in Statistical and Probabilistic Mathematics, Series Number 15)
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Measure Theory and Filtering: Introduction and Applications. (Cambridge Series in Statistical and Probabilistic Mathematics)
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MEASURE THEORY AND FLITERING INTRODUCTION WITH APPLICATIONS (HB 2004)
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MEASURE THEORY AND FLITERING INTRODUCTION WITH APPLICATIONS (HB 2004)
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Measure Theory and Filtering: Introduction with Applications (Cambridge Series in Statistical and Probabilistic Mathematics)
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Cambridge University Press, 2004
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Measure Theory and Filtering: Introduction with Applications (Cambridge Series in Statistical and Probabilistic Mathematics)
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Measure Theory and Filtering: Introduction with Applications (Cambridge Series in Statistical and Probabilistic Mathematics)
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Measure Theory and Filtering: Introduction and Applications
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Measure Theory and Filtering: An Introduction With Applications
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Measure Theory and Filtering
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Gebunden. Etat : New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. This book provides an accessible introduction to measure theory and stochastic calculus, and develops into an excellent users guide to filtering. A complete resource for engineers, or anyone with an interest in implementation of filtering techniques. Thre. N° de réf. du vendeur 446949757
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