Measure theory and filtering. Introduction and applications.

DOI10.1017/CBO9780511755330MaRDI QIDQ2914432zbMATH OpenFDO

Authors Robert J. Elliott, Lakhdar Aggoun

Publication date 20 September 2012

Mathematics Subject Classification ID

Gaussian processes (60G15) Prediction theory (aspects of stochastic processes) (60G25) Signal detection and filtering (aspects of stochastic processes) (60G35) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Stochastic analysis (60Hxx)

Cited in

(3)

• Measure filters: An extension of Weiner's Theorem
• The evaluation of multiple year gas sales agreement with regime switching
• Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation

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