An introduction to stochastic filtering theory /
Xiong, Jie.
An introduction to stochastic filtering theory / Jie Xiong. - Oxford, UK : Oxford University Press, 2008. - 1 online resource (xiii, 270 pages) - Oxford graduate texts in mathematics ; 18 Oxford mathematics . - Oxford graduate texts in mathematics ; 18. Oxford mathematics. .
Includes bibliographical references and index.
Contents; 1 Introduction; 2 Brownian motion and martingales; 3 Stochastic integrals and Itô's formula; 4 Stochastic differential equations; 5 Filtering model and Kallianpur-Striebel formula; 6 Uniqueness of the solution for Zakai's equation; 7 Uniqueness of the solution for the filtering equation; 8 Numerical methods; 9 Linear filtering; 10 Stability of non-linear filtering; 11 Singular filtering; Bibliography; List of Notations; Index.
Stochastic filtering theory is a field that has seen a rapid development in recent years and this book, aimed at graduates and researchers in applied mathematics, provides an accessible introduction covering recent developments. - ;Stochastic Filtering Theory uses probability tools to estimate unobservable stochastic processes that arise in many applied fields including communication, target-tracking, and mathematical finance. As a topic, Stochastic Filtering Theory has progressed rapidly in recent years. For example, the (branching) particle system representation of the optimal filter has bee.
0191551392 (electronic bk.) 9780199219704 0199219702 9780191551390 (ebook) 0191551392 (ebook) (Cloth)
Stochastic processes.
Filters (Mathematics)
Prediction theory.
Stochastic Processes
Processus stochastiques.
Filtres (Mathématiques)
Théorie de la prévision.
MATHEMATICS--Probability & Statistics--Stochastic Processes.
Filters (Mathematics)
Prediction theory.
Stochastic processes.
Electronic books.
Electronic books.
QA274 / .X56 2008eb
519.2/3 22
An introduction to stochastic filtering theory / Jie Xiong. - Oxford, UK : Oxford University Press, 2008. - 1 online resource (xiii, 270 pages) - Oxford graduate texts in mathematics ; 18 Oxford mathematics . - Oxford graduate texts in mathematics ; 18. Oxford mathematics. .
Includes bibliographical references and index.
Contents; 1 Introduction; 2 Brownian motion and martingales; 3 Stochastic integrals and Itô's formula; 4 Stochastic differential equations; 5 Filtering model and Kallianpur-Striebel formula; 6 Uniqueness of the solution for Zakai's equation; 7 Uniqueness of the solution for the filtering equation; 8 Numerical methods; 9 Linear filtering; 10 Stability of non-linear filtering; 11 Singular filtering; Bibliography; List of Notations; Index.
Stochastic filtering theory is a field that has seen a rapid development in recent years and this book, aimed at graduates and researchers in applied mathematics, provides an accessible introduction covering recent developments. - ;Stochastic Filtering Theory uses probability tools to estimate unobservable stochastic processes that arise in many applied fields including communication, target-tracking, and mathematical finance. As a topic, Stochastic Filtering Theory has progressed rapidly in recent years. For example, the (branching) particle system representation of the optimal filter has bee.
0191551392 (electronic bk.) 9780199219704 0199219702 9780191551390 (ebook) 0191551392 (ebook) (Cloth)
Stochastic processes.
Filters (Mathematics)
Prediction theory.
Stochastic Processes
Processus stochastiques.
Filtres (Mathématiques)
Théorie de la prévision.
MATHEMATICS--Probability & Statistics--Stochastic Processes.
Filters (Mathematics)
Prediction theory.
Stochastic processes.
Electronic books.
Electronic books.
QA274 / .X56 2008eb
519.2/3 22