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: | , |
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Format: | Book |
Language: | English |
Published: |
Springer
2017
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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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