Fundamentals of Stochastic Filtering
Bain, Alan, Crisan, Dan
Produktnummer:
1828827ee3f03d455bb1ff29796148e71d
| Autor: | Bain, Alan Crisan, Dan |
|---|---|
| Themengebiete: | Filtering Fundamentals Modeling Probability theory Stochastic Stochastic Processes algorithms calculus filtering problem measure theory |
| Veröffentlichungsdatum: | 23.10.2008 |
| EAN: | 9780387768953 |
| Sprache: | Englisch |
| Seitenzahl: | 390 |
| Produktart: | Gebunden |
| Verlag: | Springer US |
Produktinformationen "Fundamentals of Stochastic Filtering"
The purpose of this book is to provide 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. The book is intended as a reference for graduate students and researchers interested in the field. It is also suitable for use as a text for a graduate level course on stochastic filtering (suitable exercises and solutions are included).
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