Applied Mathematical Sciences

Nonlinear Filtering and Optimal Phase Tracking

Authors: Schuss, Zeev

  • Many exercises and examples included
  • Balance between mathematical rigor and physical intuition
  • An analytical rather than measure-theoretical approach to the derivation and solution of the partial differential equations of nonlinear filltering theory
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eBook $54.99
price for USA (gross)
  • ISBN 978-1-4614-0487-3
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  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $74.95
price for USA
  • ISBN 978-1-4614-0486-6
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $74.95
price for USA
  • ISBN 978-1-4899-7381-8
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Rent the ebook  
  • Rental duration: 1 or 6 month
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About this Textbook

 

This book offers an analytical rather than measure-theoretical approach to the derivation of the partial differential equations of nonlinear filtering theory. The basis for this approach is the discrete numerical scheme used in Monte-Carlo simulations of stochastic differential equations and Wiener's associated path integral representation of the transition probability density. Furthermore, it presents analytical methods for constructing asymptotic approximations to their solution and for synthesizing asymptotically optimal filters. It also offers a new approach to the phase tracking problem, based on optimizing the mean time to loss of lock. The book is based on lecture notes from a one-semester special topics course on stochastic processes and their applications that the author taught many times to graduate students of mathematics, applied mathematics, physics, chemistry, computer science, electrical engineering, and other disciplines. The book contains exercises and worked-out examples aimed at illustrating the methods of mathematical modeling and performance analysis of phase trackers.

About the authors

Zeev Schuss is a Professor in the School of Mathematical Sciences at Tel Aviv University.

Table of contents (7 chapters)

  • Diffusion and Stochastic Differential Equations

    Schuss, Zeev

    Pages 1-59

  • Euler’s Simulation Scheme and Wiener’s Measure

    Schuss, Zeev

    Pages 61-83

  • Nonlinear Filtering and Smoothing of Diffusions

    Schuss, Zeev

    Pages 85-106

  • Low-Noise Analysis of Zakai’s Equation

    Schuss, Zeev

    Pages 107-145

  • Loss of Lock in Phase Trackers

    Schuss, Zeev

    Pages 147-184

Buy this book

eBook $54.99
price for USA (gross)
  • ISBN 978-1-4614-0487-3
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $74.95
price for USA
  • ISBN 978-1-4614-0486-6
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $74.95
price for USA
  • ISBN 978-1-4899-7381-8
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Rent the ebook  
  • Rental duration: 1 or 6 month
  • low-cost access
  • online reader with highlighting and note-making option
  • can be used across all devices
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Bibliographic Information

Bibliographic Information
Book Title
Nonlinear Filtering and Optimal Phase Tracking
Authors
Series Title
Applied Mathematical Sciences
Series Volume
180
Copyright
2012
Publisher
Springer US
Copyright Holder
Springer Science+Business Media, LLC
eBook ISBN
978-1-4614-0487-3
DOI
10.1007/978-1-4614-0487-3
Hardcover ISBN
978-1-4614-0486-6
Softcover ISBN
978-1-4899-7381-8
Series ISSN
0066-5452
Edition Number
1
Number of Pages
XVIII, 262
Topics