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An Introduction to Stochastic Filtering Theory

Publisher: 
Oxford University Press
Number of Pages: 
270
Price: 
90.00
ISBN: 
9780199219704
Date Received: 
Saturday, October 4, 2008
Reviewable: 
Include In BLL Rating: 
Reviewer Email Address: 
Jie Xiong
Series: 
Oxford Graduate Texts in Mathematics
Publication Date: 
2008
Format: 
Hardcover
Category: 
Textbook
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 
Publish Book: 
Modify Date: 
Wednesday, January 14, 2009

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