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Fundamentals of stochastic filtering

Author: Alan Bain; Dan Crisan
Publisher: New York, NY : Springer, 2009.
Series: Stochastic modelling and applied probability, 60.
Edition/Format:   Print book : EnglishView all editions and formats
Publication:Fundamentals of Stochastic Filtering.
Database:WorldCat
Summary:

This book provides a rigorous mathematical treatment of the non-linear stochastic filtering problem using modern methods. Emphasis is placed on the theoretical analysis of numerical methods for the  Read more...

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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Alan Bain; Dan Crisan
ISBN: 9780387768953 0387768955 9780387768960 0387768963 9781441926425 1441926429
OCLC Number: 315578873
Description: XIII, 390 S. ; 235 x 155 mm.
Contents: Filtering Theory.- The Stochastic Process ?.- The Filtering Equations.- Uniqueness of the Solution to the Zakai and the Kushner-Stratonovich Equations.- The Robust Representation Formula.- Finite-Dimensional Filters.- The Density of the Conditional Distribution of the Signal.- Numerical Algorithms.- Numerical Methods for Solving the Filtering Problem.- A Continuous Time Particle Filter.- Particle Filters in Discrete Time.
Series Title: Stochastic modelling and applied probability, 60.
Responsibility: Alan Bain; Dan Crisan.
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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 Read more...

 
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