Measure theory and filtering : introduction and applications / Lakhdar Aggoun, Robert J. Elliott.

By:

Aggoun, Lakhdar

Contributor(s):

Elliott, Robert J. (Robert James), 1940-

Material type: Text

TextSeries: Cambridge series on statistical and probabilistic mathematicsPublication details: Cambridge, UK ; New York : Cambridge University Press, 2004.Description: 1 online resource (x, 258 pages)Content type:

text

Media type:

computer

Carrier type:

online resource

ISBN:

051123175X
9780511231759
0511229380
9780511229381
0511230222
9780511230226
0511231008
9780511231001
9780511755330
0511755333
9780521838030
0521838037
1107161967
9781107161962
1280703180
9781280703188
9786610703180
6610703183
0511316879
9780511316876

Subject(s): Genre/Form:

Additional physical formats: Print version:: Measure theory and filtering.DDC classification:

515/.42 22

LOC classification:

QA312 .A34 2004eb

Online resources:

Click here to access online

Contents:

Cover; Half-title; Series-title; Title; Copyright; Contents; Preface; 1 Basic probability concepts; 2 Stochastic processes; 3 Stochastic calculus; 4 Change of measures; 5 Kalman filtering; 6 Financial applications; 7 A genetics model; 8 Hidden populations; References; Index.

Summary: 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. Three chapters concentrate on applications from finance, genetics and population modelling. Also includes exercises.

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Item type	Home library	Collection	Call number	Materials specified	Status	Date due	Barcode
Electronic-Books	OPJGU Sonepat- Campus	E-Books EBSCO			Available

Includes bibliographical references (pages 255-256) and index.

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. Three chapters concentrate on applications from finance, genetics and population modelling. Also includes exercises.