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

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Aggoun, Lakhdar

Cambridge University Press

2004-6

268

$ 132.21

Cambridge Series in Statistical and Probabilistic Mathematics

9780521838030

图书标签: FINANCE

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发表于2024-11-09

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

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

图书描述

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.

Measure Theory and Filtering 下载 mobi epub pdf txt 电子书