Measure Theory and Filtering: Introduction and Applications: 15 (Cambridge Series in Statistical and Probabilistic Mathematics, Series Number 15) - Image 1

£80.75

Cambridge University Press Measure Theory and Filtering: Introduction and Applications: 15 (Cambridge Series in Statistical and Probabilistic Mathematics, Series Number 15)

Name: Measure Theory and Filtering: Introduction and Applications: 15 (Cambridge Series in Statistical and Probabilistic Mathematics, Series Number 15)
Brand: Cambridge University Press
Price: 80.75 GBP
Availability: InStock

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Description

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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Used Book in Good Condition

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Brand: Cambridge University Press
Format: hardcover
ASIN: 0521838037
Category: Books > Subjects > Computing & Internet
Domain: Amazon UK
Release Date: 18 November 2004
Listed Since: 22 January 2007

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Cambridge University Press Measure Theory and Filtering: Introduction and Applications: 15 (Cambridge Series in Statistical and Probabilistic Mathematics, Series Number 15)

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