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Fundamentals of Stochastic Filtering

Alan Bain and Dan Crisan
Publisher: 
Springer
Publication Date: 
2009
Number of Pages: 
390
Format: 
Hardcover
Series: 
Stochastic Modelling and Applied Probability 60
Price: 
59.95
ISBN: 
9780387768953
Category: 
Monograph
We do not plan to review this book.

 

Introduction.- The Stochastic Process.- The Filtering Equations.- Uniqueness of the Solution to the Zakai and the Kushner-Stratonovitch Equations.- Other results.- Finite Dimensional Filters.- The Density of the Conditional Distribution of the Signal.- Numerical Methods for Solving the Filtering Problem.- A Continuous Time Particle Filter.- Particle Filters in Discrete Time.- Measure Theory.- Stochastic Analysis.- References.

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