Fundamentals of Stochastic Filtering
Author:   Alan Bain ,  Dan Crisan
Publisher:   Springer-Verlag New York Inc.
Edition:   2009 ed.
Volume:   60
ISBN:  

9780387768953


Pages:   390
Publication Date:   23 October 2008
Format:   Hardback
Availability:   Out of print, replaced by POD   Availability explained
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Fundamentals of Stochastic Filtering


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Full Product Details

Author:   Alan Bain ,  Dan Crisan
Publisher:   Springer-Verlag New York Inc.
Imprint:   Springer-Verlag New York Inc.
Edition:   2009 ed.
Volume:   60
Dimensions:   Width: 15.50cm , Height: 2.30cm , Length: 23.50cm
Weight:   0.810kg
ISBN:  

9780387768953


ISBN 10:   0387768955
Pages:   390
Publication Date:   23 October 2008
Audience:   College/higher education ,  Undergraduate ,  Postgraduate, Research & Scholarly
Format:   Hardback
Publisher's Status:   Active
Availability:   Out of print, replaced by POD   Availability explained
We will order this item for you from a manufatured on demand supplier.

Table of Contents

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.

Reviews

From the reviews: This book provides a rigorous mathematical treatment of the nonlinear stochastic filtering problem with particular emphasis on numerical methods. ... The text is essentially self-contained ... . In an appendice the required results from measure theory and stochastic analysis are stated and proved. Intended readers are researchers and graduate students that have an interest in theoretical aspects of stochastic filtering. The text is supplemented with many exercises and detailed solutions. ... a standard reference for teaching and working in the field of stochastic filtering. (H. M. Mai, Zentralblatt MATH, Vol. 1176, 2010) This book is one of the few books dealing with both the theoretical foundations and modern stochastic particle techniques in stochastic filtering through the entire text. ... I highly recommend this book to any researcher in applied mathematics, as well as to any researchers in engineering and computer sciences with some background in statistics and probability. ... The book can also serve as a useful text for an informal seminar or a second year graduate course on stochastic filtering. (Pierre Del Moral, Bulletin of the American Mathematical Society, Vol. 48 (2), April, 2011)


From the reviews: This book provides a rigorous mathematical treatment of the nonlinear stochastic filtering problem with particular emphasis on numerical methods. ! The text is essentially self-contained ! . In an appendice the required results from measure theory and stochastic analysis are stated and proved. Intended readers are researchers and graduate students that have an interest in theoretical aspects of stochastic filtering. The text is supplemented with many exercises and detailed solutions. ! a standard reference for teaching and working in the field of stochastic filtering. (H. M. Mai, Zentralblatt MATH, Vol. 1176, 2010)


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