Measure theory and filtering : introduction and applications /
Aggoun, Lakhdar.
Measure theory and filtering : introduction and applications / Lakhdar Aggoun, Robert J. Elliott. - Cambridge, UK ; New York : Cambridge University Press, 2004. - 1 online resource (x, 258 pages) - Cambridge series in statistical and probabilistic mathematics . - Cambridge series on statistical and probabilistic mathematics. .
Includes bibliographical references (pages 255-256) and index.
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.
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.
English.
051123175X (electronic bk.) 9780511231759 (electronic bk.) 0511229380 9780511229381 0511230222 9780511230226 0511231008 (electronic bk.) 9780511231001 (electronic bk.) 9780511755330 (ebook) 0511755333 (ebook) 9780521838030 (hardback) 0521838037 (hardback) (Cloth) 1107161967 9781107161962 1280703180 9781280703188 9786610703180 6610703183 0511316879 9780511316876
GBA4Y9830 bnb
011620894 Uk
Measure theory.
Kalman filtering.
Théorie de la mesure.
Filtre de Kalman.
MATHEMATICS--Calculus.
MATHEMATICS--Mathematical Analysis.
Kalman filtering.
Measure theory.
Maßtheorie
Kalman-Filter
Maattheorie.
Kalman-filters.
Electronic books.
Electronic books.
QA312 / .A34 2004eb
515/.42
Measure theory and filtering : introduction and applications / Lakhdar Aggoun, Robert J. Elliott. - Cambridge, UK ; New York : Cambridge University Press, 2004. - 1 online resource (x, 258 pages) - Cambridge series in statistical and probabilistic mathematics . - Cambridge series on statistical and probabilistic mathematics. .
Includes bibliographical references (pages 255-256) and index.
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.
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.
English.
051123175X (electronic bk.) 9780511231759 (electronic bk.) 0511229380 9780511229381 0511230222 9780511230226 0511231008 (electronic bk.) 9780511231001 (electronic bk.) 9780511755330 (ebook) 0511755333 (ebook) 9780521838030 (hardback) 0521838037 (hardback) (Cloth) 1107161967 9781107161962 1280703180 9781280703188 9786610703180 6610703183 0511316879 9780511316876
GBA4Y9830 bnb
011620894 Uk
Measure theory.
Kalman filtering.
Théorie de la mesure.
Filtre de Kalman.
MATHEMATICS--Calculus.
MATHEMATICS--Mathematical Analysis.
Kalman filtering.
Measure theory.
Maßtheorie
Kalman-Filter
Maattheorie.
Kalman-filters.
Electronic books.
Electronic books.
QA312 / .A34 2004eb
515/.42