Overview
- 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
Part of the book series: Stochastic Modelling and Applied Probability (SMAP, volume 60)
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Table of contents (10 chapters)
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Introduction
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Numerical Algorithms
Keywords
About this book
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)
Authors and Affiliations
Bibliographic Information
Book Title: Fundamentals of Stochastic Filtering
Authors: Alan Bain, Dan Crisan
Series Title: Stochastic Modelling and Applied Probability
DOI: https://doi.org/10.1007/978-0-387-76896-0
Publisher: Springer New York, NY
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Springer-Verlag New York 2009
Hardcover ISBN: 978-0-387-76895-3Published: 23 October 2008
Softcover ISBN: 978-1-4419-2642-5Published: 19 November 2010
eBook ISBN: 978-0-387-76896-0Published: 08 October 2008
Series ISSN: 0172-4568
Series E-ISSN: 2197-439X
Edition Number: 1
Number of Pages: XIII, 390
Topics: Probability Theory and Stochastic Processes, Control, Robotics, Mechatronics, Numerical Analysis, Quantitative Finance