Fundamentals of Stochastic Filtering by Alan Bain, Dan Crisan

Fundamentals of Stochastic Filtering



Download Fundamentals of Stochastic Filtering




Fundamentals of Stochastic Filtering Alan Bain, Dan Crisan ebook
Language: English
Page: 395
Format: pdf
ISBN: 0387768955, 9780387768953
Publisher: Springer

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.

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