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An Introduction to Stochastic Filtering Theory

Jie Xiong
Publisher: 
Oxford University Press
Publication Date: 
2008
Number of Pages: 
270
Format: 
Hardcover
Series: 
Oxford Graduate Texts in Mathematics
Price: 
90.00
ISBN: 
9780199219704
Category: 
Textbook
We do not plan to review this book.
Preface 
1. Introduction 
2. Brownian motion and martingales 
3. Stochastic intervals and Itô's formula 
4. Stochastic differential equations 
5. Filtering model and Kallianpur-Striebel formula 
6. Uniqueness of the solution for Zakai's equation 
7. Uniqueness of the solution for the filtering equation 
8. Numerical methods 
9. Linear filtering 
10. Stability of nonlinear filtering 
11. Singular filtering 
Bibliography 
Index