Alan Bain

(Author)

Fundamentals of Stochastic Filtering (2009)Paperback - 2009, 19 November 2010

Fundamentals of Stochastic Filtering (2009)
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Part of Series
Stochastic Modelling and Applied Probability
Print Length
390 pages
Language
English
Publisher
Springer
Date Published
19 Nov 2010
ISBN-10
1441926429
ISBN-13
9781441926425

Description

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).

Product Details

Authors:
Alan BainDan Crisan
Book Edition:
2009
Book Format:
Paperback
Country of Origin:
NL
Date Published:
19 November 2010
Dimensions:
23.39 x 15.6 x 2.11 cm
ISBN-10:
1441926429
ISBN-13:
9781441926425
Language:
English
Location:
New York, NY
Pages:
390
Publisher:
Weight:
566.99 gm

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