Fundamentals of Stochastic Filtering / Edition 1

Fundamentals of Stochastic Filtering / Edition 1

by Alan Bain, Dan Crisan
     
 

ISBN-10: 1441926429

ISBN-13: 9781441926425

Pub. Date: 11/19/2010

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

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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:
9781441926425
Publisher:
Springer New York
Publication date:
11/19/2010
Series:
Stochastic Modelling and Applied Probability Series, #60
Edition description:
Softcover reprint of hardcover 1st ed. 2009
Pages:
390
Product dimensions:
6.10(w) x 9.25(h) x 0.03(d)

Table of Contents

Filtering Theory.- The Shastic Process—.- The Filtering Equations.- Uniqueness of the Solution to the Zakai and the Kushner–Stratonovich Equations.- The Robust Representation Formula.- Finite-Dimensional Filters.- The Density of the Conditional Distribution of the Signal.- Numerical Algorithms.- Numerical Methods for Solving the Filtering Problem.- A Continuous Time Particle Filter.- Particle Filters in Discrete Time.

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