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, ...
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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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Add this copy of Measure Theory and Filtering: Introduction With to cart. £48.95, good condition, Sold by Blue Vase Books rated 5.0 out of 5 stars, ships from Interlochen, MI, UNITED STATES, published 2004 by Cambridge University Press.
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Former library book with the usual stamps stickers and labels. The item shows wear from consistent use but it remains in good condition and works perfectly. All pages and cover are intact including the dust cover if applicable. Spine may show signs of wear. Pages may include limited notes and highlighting. May NOT include discs access code or other supplemental materials.
Add this copy of Measure Theory and Filtering: Introduction With to cart. £52.29, good condition, Sold by Big River Books rated 5.0 out of 5 stars, ships from Powder Springs, GA, UNITED STATES, published 2004 by Cambridge University Press.
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This book is in good condition. The cover has minor creases or bends. The binding is tight and pages are intact. Some pages may have writing or highlighting.
Add this copy of Measure Theory and Filtering: Introduction and to cart. £55.06, new condition, Sold by Ingram Customer Returns Center rated 5.0 out of 5 stars, ships from NV, USA, published 2012 by Cambridge University Press.
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New. Print on demand Trade paperback (US). Cambridge Series in Statistical and Probabilistic Mathematics . Intended for professional and scholarly audience.
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