Skip to main content
SpringerLink
Log in

Stochastic Filtering Theory

  • Book
  • © 1980

Overview

Authors:
  1. Gopinath Kallianpur

    1. Department of Statistics, University of North Carolina, Chapel Hill, USA

    View author publications

    You can also search for this author in PubMed   Google Scholar

Part of the book series: Stochastic Modelling and Applied Probability (SMAP, volume 13)

This is a preview of subscription content, log in via an institution to check access.

Access this book

Log in via an institution
eBook USD 84.99
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book USD 109.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info
Hardcover Book USD 109.99
Price excludes VAT (USA)
  • Durable hardcover edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Other ways to access

Licence this eBook for your library

Institutional subscriptions

Table of contents (11 chapters)

  1. Front Matter

    Pages i-xvi
    Download chapter PDF

  2. Stochastic Processes: Basic Concepts and Definitions

    • Gopinath Kallianpur
    Pages 1-11

  3. Martingales and the Wiener Process

    • Gopinath Kallianpur
    Pages 12-47

  4. Stochastic Integrals

    • Gopinath Kallianpur
    Pages 48-76

  5. The Ito Formula

    • Gopinath Kallianpur
    Pages 77-93

  6. Stochastic Differential Equations

    • Gopinath Kallianpur
    Pages 94-133

  7. Functionals of a Wiener Process

    • Gopinath Kallianpur
    Pages 134-161

  8. Absolute Continuity of Measures and Radon-Nikodym Derivatives

    • Gopinath Kallianpur
    Pages 162-191

  9. The General Filtering Problem and the Stochastic Equation of the Optimal Filter (Part I)

    • Gopinath Kallianpur
    Pages 192-224

  10. Gaussian Solutions of Stochastic Equations

    • Gopinath Kallianpur
    Pages 225-246

  11. Linear Filtering Theory

    • Gopinath Kallianpur
    Pages 247-272

  12. The Stochastic Equation of the Optimal Filter (Part II)

    • Gopinath Kallianpur
    Pages 273-293

  13. Back Matter

    Pages 295-317
    Download chapter PDF
Back to top

Keywords

About this book

This book is based on a seminar given at the University of California at Los Angeles in the Spring of 1975. The choice of topics reflects my interests at the time and the needs of the students taking the course. Initially the lectures were written up for publication in the Lecture Notes series. How­ ever, when I accepted Professor A. V. Balakrishnan's invitation to publish them in the Springer series on Applications of Mathematics it became necessary to alter the informal and often abridged style of the notes and to rewrite or expand much of the original manuscript so as to make the book as self-contained as possible. Even so, no attempt has been made to write a comprehensive treatise on filtering theory, and the book still follows the original plan of the lectures. While this book was in preparation, the two-volume English translation of the work by R. S. Liptser and A. N. Shiryaev has appeared in this series. The first volume and the present book have the same approach to the sub­ ject, viz. that of martingale theory. Liptser and Shiryaev go into greater detail in the discussion of statistical applications and also consider inter­ polation and extrapolation as well as filtering.

Authors and Affiliations

  • Department of Statistics, University of North Carolina, Chapel Hill, USA

    Gopinath Kallianpur

Bibliographic Information

Publish with us

Policies and ethics

Back to top

Search

Navigation