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Prof. Emeritus Venkatarama Krishnan has written a new edition of the book “Nonlinear Filtering and Smoothing” (Dover Publications, 2005), which was originally published by John Wiley and Sons, Inc., in 1984. The edition has a new preface and corrections provided in a separate errata sheet.
The book, appropriate for upper-level graduate students in engineering and finance, addresses the fundamental concepts of martingales, stochastic integrals and estimation. Even though this book was written by an engineer for engineers, it has found use in a field that can aptly be called financial engineering.