Fundamentals of Stochastic Filtering - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Fundamentals of Stochastic Filtering write by Alan Bain. This book was released on 2008-10-08. Fundamentals of Stochastic Filtering available in PDF, EPUB and Kindle. This book provides 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. Exercises and solutions are included.
Fundamentals of Stochastic Filtering
Fundamentals of Stochastic Filtering - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Fundamentals of Stochastic Filtering write by Alan Bain. This book was released on 2008-11-01. Fundamentals of Stochastic Filtering available in PDF, EPUB and Kindle. This book provides 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. Exercises and solutions are included.
An Introduction to Stochastic Filtering Theory
An Introduction to Stochastic Filtering Theory - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook An Introduction to Stochastic Filtering Theory write by Jie Xiong. This book was released on 2008-04-17. An Introduction to Stochastic Filtering Theory available in PDF, EPUB and Kindle. Stochastic Filtering Theory uses probability tools to estimate unobservable stochastic processes that arise in many applied fields including communication, target-tracking, and mathematical finance.As a topic, Stochastic Filtering Theory has progressed rapidly in recent years. For example, the (branching) particle system representation of the optimal filter has been extensively studied to seek more effective numerical approximations of the optimal filter; the stability of the filter with "incorrect" initial state, as well as the long-term behavior of the optimal filter, has attracted the attention of many researchers; and although still in its infancy, the study of singular filteringmodels has yielded exciting results.In this text, Jie Xiong introduces the reader to the basics of Stochastic Filtering Theory before covering these key recent advances. The text is written in a style suitable for graduates in mathematics and engineering with a background in basic probability.
Stochastic Filtering Theory
Stochastic Filtering Theory - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Stochastic Filtering Theory write by G. Kallianpur. This book was released on 2013-04-17. Stochastic Filtering Theory available in PDF, EPUB and Kindle. This book is based on a seminar given at the University of California at Los Angeles in the Spring of 1975. The choice of topics reflects my interests at the time and the needs of the students taking the course. Initially the lectures were written up for publication in the Lecture Notes series. How ever, when I accepted Professor A. V. Balakrishnan's invitation to publish them in the Springer series on Applications of Mathematics it became necessary to alter the informal and often abridged style of the notes and to rewrite or expand much of the original manuscript so as to make the book as self-contained as possible. Even so, no attempt has been made to write a comprehensive treatise on filtering theory, and the book still follows the original plan of the lectures. While this book was in preparation, the two-volume English translation of the work by R. S. Liptser and A. N. Shiryaev has appeared in this series. The first volume and the present book have the same approach to the sub ject, viz. that of martingale theory. Liptser and Shiryaev go into greater detail in the discussion of statistical applications and also consider inter polation and extrapolation as well as filtering.
Stochastic Processes and Filtering Theory
Stochastic Processes and Filtering Theory - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Stochastic Processes and Filtering Theory write by Andrew H. Jazwinski. This book was released on 2013-04-15. Stochastic Processes and Filtering Theory available in PDF, EPUB and Kindle. This unified treatment of linear and nonlinear filtering theory presents material previously available only in journals, and in terms accessible to engineering students. Its sole prerequisites are advanced calculus, the theory of ordinary differential equations, and matrix analysis. Although theory is emphasized, the text discusses numerous practical applications as well. Taking the state-space approach to filtering, this text models dynamical systems by finite-dimensional Markov processes, outputs of stochastic difference, and differential equations. Starting with background material on probability theory and stochastic processes, the author introduces and defines the problems of filtering, prediction, and smoothing. He presents the mathematical solutions to nonlinear filtering problems, and he specializes the nonlinear theory to linear problems. The final chapters deal with applications, addressing the development of approximate nonlinear filters, and presenting a critical analysis of their performance.
