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 |
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格式: | 圖書 |
語言: | English |
出版: |
Springer
2017
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在線閱讀: | http://repository.vnu.edu.vn/handle/VNU_123/30848 |
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機構: | Vietnam National University, Hanoi |
語言: | English |
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