Fundamentals of stochastic filtering

The objective of stochastic filtering is to determine the best estimate for the state of a stochastic dynamical system from partial observations. The solution of this problem in the linear case is the well known Kalman-Bucy filter which has found widespread practical application. The purpose of this...

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Main Authors: Bain, Alan, Crisan, Dan
Format: Book
Language:English
Published: Springer 2017
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Online Access:http://repository.vnu.edu.vn/handle/VNU_123/30848
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Institution: Vietnam National University, Hanoi
Language: English
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spelling oai:112.137.131.14:VNU_123-308482020-06-21T09:50:57Z Fundamentals of stochastic filtering Bain, Alan Crisan, Dan Mathematics Statistics ; Stochastic processes ; Filters (Mathematics) 519.22 The objective of stochastic filtering is to determine the best estimate for the state of a stochastic dynamical system from partial observations. The solution of this problem in the linear case is the well known Kalman-Bucy filter which has found widespread practical application. The purpose of this book is to provide 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. The book is intended as a reference for graduate students and researchers interested in the field. It is also suitable for use as a text for a graduate level course on stochastic filtering. Suitable exercises and solutions are included. 2017-04-19T02:11:37Z 2017-04-19T02:11:37Z 2009 Book 978-0-387-76895-3 http://repository.vnu.edu.vn/handle/VNU_123/30848 en 394 p. application/pdf Springer
institution Vietnam National University, Hanoi
building VNU Library & Information Center
country Vietnam
collection VNU Digital Repository
language English
topic Mathematics
Statistics ; Stochastic processes ; Filters (Mathematics)
519.22
spellingShingle Mathematics
Statistics ; Stochastic processes ; Filters (Mathematics)
519.22
Bain, Alan
Crisan, Dan
Fundamentals of stochastic filtering
description The objective of stochastic filtering is to determine the best estimate for the state of a stochastic dynamical system from partial observations. The solution of this problem in the linear case is the well known Kalman-Bucy filter which has found widespread practical application. The purpose of this book is to provide 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. The book is intended as a reference for graduate students and researchers interested in the field. It is also suitable for use as a text for a graduate level course on stochastic filtering. Suitable exercises and solutions are included.
format Book
author Bain, Alan
Crisan, Dan
author_facet Bain, Alan
Crisan, Dan
author_sort Bain, Alan
title Fundamentals of stochastic filtering
title_short Fundamentals of stochastic filtering
title_full Fundamentals of stochastic filtering
title_fullStr Fundamentals of stochastic filtering
title_full_unstemmed Fundamentals of stochastic filtering
title_sort fundamentals of stochastic filtering
publisher Springer
publishDate 2017
url http://repository.vnu.edu.vn/handle/VNU_123/30848
_version_ 1680963708920004608