Measure Theory and Filtering 在线电子书 pdf 下载 txt下载 epub 下载 mobi 下载 2024

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Aggoun, Lakhdar 作者

Cambridge University Press

译者

2004-6 出版日期

268 页数

$ 132.21 价格

Cambridge Series in Statistical and Probabilistic Mathematics 丛书系列

9780521838030 图书编码

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Measure Theory and Filtering 在线电子书 epub 下载 mobi 下载 pdf 下载 txt 下载 2024

Measure Theory and Filtering 在线电子书 pdf 下载 txt下载 epub 下载 mobi 下载 2024

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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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