Measure Theory and Filtering (English, Lakhdar Aggoun | Robert J. Elliott)
by Lakhdar Aggoun | Robert J. Elliott
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About the Book
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 practica…
ISBN: 9780521838030
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