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The Oxford handbook of nonlinear filtering

Author: Dan Crisan; B L Rozovskiĭ
Publisher: Oxford ; N.Y. : Oxford University Press, ©2011.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:

A comprehensive, interdisciplinary resource for nonlinear (or stochastic) filtering, this Handbook explores the classical theory, the recent advances, and the application of nonlinear filtering to  Read more...

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Document Type: Book
All Authors / Contributors: Dan Crisan; B L Rozovskiĭ
ISBN: 9780199532902 0199532907
OCLC Number: 682145181
Notes: Includes index.
Description: xiv, 1063 pages ; 26 cm
Contents: Introduction / D. Crisan and B. Rozovskiĭ --
Nonlinear filtering problems I: Bayes formulas and innovations / H. Kunita --
Nonlinear filtering problems II: associated equations / H. Kunita --
Nonlinear filtering equations for stochastic processes with jumps / B. Grigelionis and R. Mikulevicius --
The filtered martingale problem / T.G. Kurtz and G. Nappo --
Filtering equations for partially observable diffusion processes with Lipschitz continuous coefficients / N.V. Krylov --
Malliavin calculus applications to the study of nonlinear filtering / M. Chaleyat-Maurel --
Chaos approach to nonlinear filtering / S.V. Lototsky --
On filtering with unspecified initial data for nonuniformly ergodic signals / M.L. Kleptsyna and A. Yu. Veretennikov --
Exponential decay rate of the filter's dependence on the initial distribution / R. Atar --
Intrinsic methods in filter stability / P. Chigansky, R. Liptser, and R. Van Handel --
Feller and stability properties of the nonlinear filter / A. Budhiraja --
Stability of the optimal filter for nonergodic signals--a variational approach / W. Stannat --
Pathwise nonlinear filtering with correlated noise / M.H.A. Davis --
The innovations problem / A.J. Heunis --
Nonlinear filtering and fractional Brownian motion / T.E. Duncan --
Dual filters, path estimators, and information / N.J. Newton --
Filtering for discrete-time Markov processes and applications to inventory control with incomplete information / A. Bensoussan, M. Çakanyıldırım, and S.P. Sethi --
Bayesian filtering of stochastic hybrid systems in discrete-time and interacting multiple model / H.A.P. Bloom and Y. Bar-Shalom --
Error bounds for the nonlinear filtering of diffusion processes / O. Zeitouni --
Discretizing the continuous-time filtering problems: order of convergence / D. Crisan --
Large sample asymptotics for the ensemble Kalman filter / F. Le Gland, V. Monbet, and V.-D. Tran --
Particle approximations to the filtering problem in continuous time / J. Xiong --
A tutorial on particle filtering and smoothing: fifteen years later / A. Doucet and A.M. Johansen --
A mean field theory of nonlinear filtering / P. Del Moral, F. Patras, and S. Rubenthaler --
The particle filter in practice / T.B. Schön, F. Gustafsson, and R. Karlsson --
Introducing cubature to filtering / C. Litterer and T. Lyons --
Numerical approximations to optimal nonlinear filters / H.J. Kushner --
Signal processing problems on function space: Bayesian formulation, stochastic PDEs and effective MCMC methods / M. Hairer, A. Stuart, and J. Voss --
Robust, computationally efficient algorithms for tracking problems with measurement process nonlinearities / J.M.C. Clark and R.B. Vinter --
Nonlinear filtering algorithms based on averaging over characteristics and on the innovation approach / G.N. Milstein and M.V. Tretyakov --
Nonlinear filtering in models for interest-rate and credit risk / R. Frey and W. Runggaldier --
An asset pricing model with mean reversion and regime switching stochastic volatility / R.J. Elliot, H. Miao, and Z. Wu --Portfolio optimization under partial observation: theoretical and numerical aspects / H. Pham --
Filtering with counting process observations: application to the statistical analysis of the micromovement of asset price / L.C. Scott and Y. Zeng.
Responsibility: edited by Dan Crisan, Boris Rozovskii.

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