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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Bibliographic Details
Main Authors: Bain, Alan, Crisan, Dan
Format: Book
Language:English
Published: Springer 2017
Subjects:
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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