Fundamentals Of Stochastic Filtering
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Fundamentals Of Stochastic Filtering
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Author : Alan Bain
language : en
Publisher: Springer Science & Business Media
Release Date : 2008-10-08
Fundamentals Of Stochastic Filtering written by Alan Bain and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-10-08 with Mathematics categories.
This book provides a rigorous mathematical treatment of the non-linear stochastic filtering problem using modern methods. Particular emphasis is placed on the theoretical analysis of numerical methods for the solution of the filtering problem via particle methods. The book should provide sufficient background to enable study of the recent literature. While no prior knowledge of stochastic filtering is required, readers are assumed to be familiar with measure theory, probability theory and the basics of stochastic processes. Most of the technical results that are required are stated and proved in the appendices. Exercises and solutions are included.
Fundamentals Of Stochastic Filtering
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Author : Alan Bain
language : en
Publisher: Springer
Release Date : 2008-11-01
Fundamentals Of Stochastic Filtering written by Alan Bain and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-11-01 with Mathematics categories.
This book provides a rigorous mathematical treatment of the non-linear stochastic filtering problem using modern methods. Particular emphasis is placed on the theoretical analysis of numerical methods for the solution of the filtering problem via particle methods. The book should provide sufficient background to enable study of the recent literature. While no prior knowledge of stochastic filtering is required, readers are assumed to be familiar with measure theory, probability theory and the basics of stochastic processes. Most of the technical results that are required are stated and proved in the appendices. Exercises and solutions are included.
An Introduction To Stochastic Filtering Theory
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Author : Jie Xiong
language : en
Publisher: Oxford University Press on Demand
Release Date : 2008-04-17
An Introduction To Stochastic Filtering Theory written by Jie Xiong and has been published by Oxford University Press on Demand this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-04-17 with Business & Economics categories.
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 Analysis 2010
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Author : Dan Crisan
language : en
Publisher: Springer Science & Business Media
Release Date : 2010-11-26
Stochastic Analysis 2010 written by Dan Crisan and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-11-26 with Mathematics categories.
Stochastic Analysis aims to provide mathematical tools to describe and model high dimensional random systems. Such tools arise in the study of Stochastic Differential Equations and Stochastic Partial Differential Equations, Infinite Dimensional Stochastic Geometry, Random Media and Interacting Particle Systems, Super-processes, Stochastic Filtering, Mathematical Finance, etc. Stochastic Analysis has emerged as a core area of late 20th century Mathematics and is currently undergoing a rapid scientific development. The special volume “Stochastic Analysis 2010” provides a sample of the current research in the different branches of the subject. It includes the collected works of the participants at the Stochastic Analysis section of the 7th ISAAC Congress organized at Imperial College London in July 2009.
Stochastic Processes And Filtering Theory
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Author : Andrew H. Jazwinski
language : en
Publisher: Courier Corporation
Release Date : 2013-04-15
Stochastic Processes And Filtering Theory written by Andrew H. Jazwinski and has been published by Courier Corporation this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-04-15 with Science categories.
This unified treatment of linear and nonlinear filtering theory presents material previously available only in journals, and in terms accessible to engineering students. Its sole prerequisites are advanced calculus, the theory of ordinary differential equations, and matrix analysis. Although theory is emphasized, the text discusses numerous practical applications as well. Taking the state-space approach to filtering, this text models dynamical systems by finite-dimensional Markov processes, outputs of stochastic difference, and differential equations. Starting with background material on probability theory and stochastic processes, the author introduces and defines the problems of filtering, prediction, and smoothing. He presents the mathematical solutions to nonlinear filtering problems, and he specializes the nonlinear theory to linear problems. The final chapters deal with applications, addressing the development of approximate nonlinear filters, and presenting a critical analysis of their performance.
Stochastic Filtering Theory
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Author : Gopinath Kallianpur
language : en
Publisher:
Release Date : 1980
Stochastic Filtering Theory written by Gopinath Kallianpur and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1980 with Filters (Mathematics) categories.
Measure Theory And Filtering
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Author : Lakhdar Aggoun
language : en
Publisher: Cambridge University Press
Release Date : 2004-09-13
Measure Theory And Filtering written by Lakhdar Aggoun and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-09-13 with Mathematics categories.
The estimation of noisily observed states from a sequence of data has traditionally incorporated ideas from Hilbert spaces and calculus-based probability theory. As conditional expectation is the key concept, the correct setting for filtering theory is that of a probability space. Graduate engineers, mathematicians and those working in quantitative finance wishing to use filtering techniques will find in the first half of this book an accessible introduction to measure theory, stochastic calculus, and stochastic processes, with particular emphasis on martingales and Brownian motion. Exercises are included. The book then provides an excellent users' guide to filtering: basic theory is followed by a thorough treatment of Kalman filtering, including recent results which extend the Kalman filter to provide parameter estimates. These ideas are then applied to problems arising in finance, genetics and population modelling in three separate chapters, making this a comprehensive resource for both practitioners and researchers.
Stochastic Analysis 2010
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Author : Dan Crisan
language : en
Publisher: Springer
Release Date : 2010-11-30
Stochastic Analysis 2010 written by Dan Crisan and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-11-30 with Mathematics categories.
Stochastic Analysis aims to provide mathematical tools to describe and model high dimensional random systems. Such tools arise in the study of Stochastic Differential Equations and Stochastic Partial Differential Equations, Infinite Dimensional Stochastic Geometry, Random Media and Interacting Particle Systems, Super-processes, Stochastic Filtering, Mathematical Finance, etc. Stochastic Analysis has emerged as a core area of late 20th century Mathematics and is currently undergoing a rapid scientific development. The special volume “Stochastic Analysis 2010” provides a sample of the current research in the different branches of the subject. It includes the collected works of the participants at the Stochastic Analysis section of the 7th ISAAC Congress organized at Imperial College London in July 2009.
Nonlinear Filtering And Smoothing
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Author : Venkatarama Krishnan
language : en
Publisher: Courier Corporation
Release Date : 2013-10-17
Nonlinear Filtering And Smoothing written by Venkatarama Krishnan and has been published by Courier Corporation this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-10-17 with Science categories.
Most useful for graduate students in engineering and finance who have a basic knowledge of probability theory, this volume is designed to give a concise understanding of martingales, stochastic integrals, and estimation. It emphasizes applications. Many theorems feature heuristic proofs; others include rigorous proofs to reinforce physical understanding. Numerous end-of-chapter problems enhance the book's practical value. After introducing the basic measure-theoretic concepts of probability and stochastic processes, the text examines martingales, square integrable martingales, and stopping times. Considerations of white noise and white-noise integrals are followed by examinations of stochastic integrals and stochastic differential equations, as well as the associated Ito calculus and its extensions. After defining the Stratonovich integral, the text derives the correction terms needed for computational purposes to convert the Ito stochastic differential equation to the Stratonovich form. Additional chapters contain the derivation of the optimal nonlinear filtering representation, discuss how the Kalman filter stands as a special case of the general nonlinear filtering representation, apply the nonlinear filtering representations to a class of fault-detection problems, and discuss several optimal smoothing representations.
Fundamentals Of Adaptive Filtering
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Author : Ali H. Sayed
language : en
Publisher: John Wiley & Sons
Release Date : 2003-06-13
Fundamentals Of Adaptive Filtering written by Ali H. Sayed and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-06-13 with Science categories.
This book is based on a graduate level course offered by the author at UCLA and has been classed tested there and at other universities over a number of years. This will be the most comprehensive book on the market today providing instructors a wide choice in designing their courses. * Offers computer problems to illustrate real life applications for students and professionals alike * An Instructor's Manual presenting detailed solutions to all the problems in the book is available from the Wiley editorial department. An Instructor's Manual presenting detailed solutions to all the problems in the book is available from the Wiley editorial department.