Measure Theory and Filtering: Introduction and Applications

ISBN: 9781107410718 出版年：2004 页码：270 Lakhdar Aggoun Robert J Elliott Cambridge University Press

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.