Fundamentals of Stochastic Filtering

Name: Fundamentals of Stochastic Filtering
Author: Alan Bain

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Paperback, 390 blz. | Engels

Springer New York | 2009e druk, 2010

ISBN13: 9781441926425

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Springer New York 2009e druk, 2010 9781441926425

Onderdeel van serie Stochastic Modelling and Applied Probability

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This book provides a rigorous mathematical treatment of the non-linear stochastic 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 stochastic filtering is required, readers are assumed to be familiar with measure theory, probability theory and the basics of stochastic processes. Most of the technical results that are required are stated and proved in the appendices. Exercises and solutions are included.

Specificaties

ISBN13:9781441926425

Taal:Engels

Bindwijze:paperback

Aantal pagina's:390

Uitgever:Springer New York

Druk:2009

Serie:Stochastic Modelling and Applied Probability

Inhoudsopgave

Filtering Theory.- The Stochastic 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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