Measure Theory and Filtering - Introduction and Applications

Klappentext This book is a resource for non-statisticians implementing filtering methods, which covers applications in finance, genetics and population. Zusammenfassung This book 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. Inhaltsverzeichnis 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.

Product details

• Authors: Lakhdar Aggoun, Lakhdar (Sultan Qaboos University Aggoun, Lakhdar Elliott Aggoun, Robert J. Elliott
• Publisher: Cambridge University Press ELT
• Languages: English
• Product format: Paperback / Softback
• Released: 04.10.2012
• EAN: 9781107410718
• ISBN: 978-1-107-41071-8
• No. of pages: 270
• Series: Cambridge Series in Statistical and Probabilistic Mathematics; Cambridge Series in Statistica
• Subject: Natural sciences, medicine, IT, technology > Mathematics > Probability theory, stochastic theory, mathematical statistics