Fundamentals of Stochastic Filtering

Many aspects of phenomena critical to our lives can not be measured directly. Fortunately models of these phenomena, together with more limited obs- vations frequently allow us to make reasonable inferences about the state of the systems that affect us. The process of using partial observations and a shastic model to make inferences about an evolving system is known as shastic—ltering. The objective of this text is to assist anyone who would like to become familiar with the theory of shasti...