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Measure Theory and Filtering
Introduction and Applications

$54.99 (P)

Part of Cambridge Series in Statistical and Probabilistic Mathematics

  • Date Published: October 2012
  • availability: Available
  • format: Paperback
  • isbn: 9781107410718

$ 54.99 (P)

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About the Authors
  • Aimed primarily at those outside of the field of statistics, this book not only provides an accessible introduction to measure theory, stochastic calculus, and stochastic processes, with particular emphasis on martingales and Brownian motion, but develops into an excellent user's guide to filtering. Including exercises for students, it will be a complete resource for engineers, signal processing researchers, or anyone with an interest in practical implementation of filtering techniques, in particular, the Kalman filter. Three separate chapters concentrate on applications arising in finance, genetics, and population modelling.

    • Many non-statistics readers are put off the subject by rigorous theory; this book begins by explaining the basics to an outside audience
    • Book develops into an excellent reference for engineers, signal processing researchers and anyone interested in filtering
    • Contains exercises and three chapters outlining applications in mathematical finance, genetics and population modelling
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    Reviews & endorsements

    "It is well written and self-contained. I am convinced that it will raise a lot of interest and remain a reference for a long time to come." Alain Bensoussan, University of Texas at Dallas

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    Product details

    • Date Published: October 2012
    • format: Paperback
    • isbn: 9781107410718
    • length: 270 pages
    • dimensions: 244 x 170 x 14 mm
    • weight: 0.44kg
    • availability: Available
  • Table of Contents

    Part I. Theory:
    1. Basic probability concepts
    2. Stochastic processes
    3. Stochastic calculus
    4. Change of measures
    Part II. Applications:
    5. Kalman filtering
    6. Financial applications
    7. A genetics model
    8. Hidden populations.

  • Resources for

    Measure Theory and Filtering

    Lakhdar Aggoun, Robert J. Elliott

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  • Authors

    Lakhdar Aggoun, Sultan Qaboos University, Oman

    Robert J. Elliott, University of Calgary

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