Stochastic Modelling and Applied Probability

Fundamentals of Stochastic Filtering

Authors: Bain, Alan, Crisan, Dan

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  • The authors are an authority in the stochastic filtering field 
  • An assortment of Measure Theory, Probability Theory and Stochastic Analysis results are included in order to make this book as self contained as possible 
  • Exercises and solutions included throughout 
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eBook 53,49 €
price for Spain (gross)
  • ISBN 978-0-387-76896-0
  • Digitally watermarked, DRM-free
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Hardcover 93,59 €
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Softcover 67,59 €
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About this book

The objective of stochastic filtering is to determine the best estimate for the state of a stochastic dynamical system from partial observations. The solution of this problem in the linear case is the well known Kalman-Bucy filter which has found widespread practical application. 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.

Reviews

From the reviews:

“This book provides a rigorous mathematical treatment of the nonlinear stochastic filtering problem with particular emphasis on numerical methods. … The text is essentially self-contained … . In an appendice the required results from measure theory and stochastic analysis are stated and proved. Intended readers are researchers and graduate students that have an interest in theoretical aspects of stochastic filtering. The text is supplemented with many exercises and detailed solutions. … a standard reference for teaching and working in the field of stochastic filtering.” (H. M. Mai, Zentralblatt MATH, Vol. 1176, 2010)

“This book is one of the few books dealing with both the theoretical foundations and modern stochastic particle techniques in stochastic filtering through the entire text. … I highly recommend this book to any researcher in applied mathematics, as well as to any researchers in engineering and computer sciences with some background in statistics and probability. … The book can also serve as a useful text for an informal seminar or a second year graduate course on stochastic filtering.” (Pierre Del Moral, Bulletin of the American Mathematical Society, Vol. 48 (2), April, 2011)


Table of contents (10 chapters)

Table of contents (10 chapters)

Buy this book

eBook 53,49 €
price for Spain (gross)
  • ISBN 978-0-387-76896-0
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • Immediate eBook download after purchase and usable on all devices
  • Bulk discounts available
Hardcover 93,59 €
price for Spain (gross)
Softcover 67,59 €
price for Spain (gross)
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Bibliographic Information

Bibliographic Information
Book Title
Fundamentals of Stochastic Filtering
Authors
Series Title
Stochastic Modelling and Applied Probability
Series Volume
60
Copyright
2009
Publisher
Springer-Verlag New York
Copyright Holder
Springer-Verlag New York
eBook ISBN
978-0-387-76896-0
DOI
10.1007/978-0-387-76896-0
Hardcover ISBN
978-0-387-76895-3
Softcover ISBN
978-1-4419-2642-5
Series ISSN
0172-4568
Edition Number
1
Number of Pages
XIII, 390
Topics