Alan Bain,
Dan Crisan
Fundamentals of Stochastic Filtering
Paperback Engels 2010 2009e druk 9781441926425
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Samenvatting
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
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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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