An introduction to stochastic filtering theory /

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Stochastic filtering theory is a field that has seen a rapid development in recent years and this book, aimed at graduates and researchers in applied mathematics, provides an accessible introduction covering recent developments. - ;Stochastic Filtering Theory uses probability tools to estimate unobs...

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Détails bibliographiques
Cote:Libro Electrónico
Auteur principal: Xiong, Jie
Format: Électronique eBook
Langue:Inglés
Publié: Oxford, UK : Oxford University Press, 2008.
Collection:Oxford graduate texts in mathematics ; 18.
Oxford mathematics.
Sujets:
Stochastic processes.
Filters (Mathematics)
Prediction theory.
Stochastic Processes
Processus stochastiques.
Filtres (Mathématiques)
Théorie de la prévision.
MATHEMATICS > Probability & Statistics > Stochastic Processes.
Prediction theory
Stochastic processes
Accès en ligne:Texto completo
Table des matières:
  • Contents; 1 Introduction; 2 Brownian motion and martingales; 3 Stochastic integrals 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 non-linear filtering; 11 Singular filtering; Bibliography; List of Notations; Index.

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