Fundamentals of Stochastic Filtering / Edition 1

Fundamentals of Stochastic Filtering / Edition 1

by Alan Bain, Dan Crisan
     
 

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ISBN-10: 0387768955

ISBN-13: 9780387768953

Pub. Date: 10/23/2008

Publisher: Springer New York

This book provides a rigorous mathematical treatment of the non-linear shastic filtering problem using modern methods. Particular emphasis is placed on the theoretical analysis of numerical methods for the solution of the filtering problem via particle methods. The book should provide sufficient background to enable study of the recent literature. While no prior

Overview

This book provides a rigorous mathematical treatment of the non-linear shastic filtering problem using modern methods. Particular emphasis is placed on the theoretical analysis of numerical methods for the solution of the filtering problem via particle methods. The book should provide sufficient background to enable study of the recent literature. While no prior knowledge of shastic filtering is required, readers are assumed to be familiar with measure theory, probability theory and the basics of shastic processes. Most of the technical results that are required are stated and proved in the appendices. Exercises and solutions are included.

Product Details

ISBN-13:
9780387768953
Publisher:
Springer New York
Publication date:
10/23/2008
Series:
Stochastic Modelling and Applied Probability Series, #60
Edition description:
2009
Pages:
390
Product dimensions:
6.10(w) x 9.25(h) x 0.36(d)

Table of Contents

Introduction.- The Shastic Process.- The Filtering Equations.- Uniqueness of the Solution to the Zakai and the Kushner-Stratonovitch Equations.- Other results.- Finite Dimensional Filters.- The Density of the Conditional Distribution of the Signal.- Numerical Methods for Solving the Filtering Problem.- A Continuous Time Particle Filter.- Particle Filters in Discrete Time.- Measure Theory.- Shastic Analysis.- References.

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