TY  - BOOK
AU  - Xiong,Jie
TI  - An introduction to stochastic filtering theory
T2  - Oxford graduate texts in mathematics
SN  - 0191551392
AV  - QA274 .X56 2008eb
U1  - 519.2/3 22 22
PY  - 2008///
CY  - Oxford, UK
PB  - Oxford University Press
KW  - Stochastic processes
KW  - Filters (Mathematics)
KW  - Prediction theory
KW  - Stochastic Processes
KW  - Processus stochastiques
KW  - Filtres (Mathématiques)
KW  - Théorie de la prévision
KW  - MATHEMATICS
KW  - Probability & Statistics
KW  - bisacsh
KW  - fast
KW  - Electronic books
N1  - 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
N2  - 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
UR  - https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=259511
ER  -