Stochastic Processes And Filtering Theory
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Stochastic Processes And Filtering Theory
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Author : Andrew H. Jazwinski
language : en
Publisher: Academic Press
Release Date : 1970-01-31
Stochastic Processes And Filtering Theory written by Andrew H. Jazwinski and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1970-01-31 with Technology & Engineering categories.
This book presents a unified treatment of linear and nonlinear filtering theory for engineers, with sufficient emphasis on applications to enable the reader to use the theory. The need for this book is twofold. First, although linear estimation theory is relatively well known, it is largely scattered in the journal literature and has not been collected in a single source. Second, available literature on the continuous nonlinear theory is quite esoteric and controversial, and thus inaccessible to engineers uninitiated in measure theory and stochastic differential equations. Furthermore, it is not clear from the available literature whether the nonlinear theory can be applied to practical engineering problems. In attempting to fill the stated needs, the author has retained as much mathematical rigor as he felt was consistent with the prime objective—to explain the theory to engineers. Thus, the author has avoided measure theory in this book by using mean square convergence, on the premise that everyone knows how to average. As a result, the author only requires of the reader background in advanced calculus, theory of ordinary differential equations, and matrix analysis.
Stochastic Filtering Theory
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Author : G. Kallianpur
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-04-17
Stochastic Filtering Theory written by G. Kallianpur 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 2013-04-17 with Science categories.
This book is based on a seminar given at the University of California at Los Angeles in the Spring of 1975. The choice of topics reflects my interests at the time and the needs of the students taking the course. Initially the lectures were written up for publication in the Lecture Notes series. How ever, when I accepted Professor A. V. Balakrishnan's invitation to publish them in the Springer series on Applications of Mathematics it became necessary to alter the informal and often abridged style of the notes and to rewrite or expand much of the original manuscript so as to make the book as self-contained as possible. Even so, no attempt has been made to write a comprehensive treatise on filtering theory, and the book still follows the original plan of the lectures. While this book was in preparation, the two-volume English translation of the work by R. S. Liptser and A. N. Shiryaev has appeared in this series. The first volume and the present book have the same approach to the sub ject, viz. that of martingale theory. Liptser and Shiryaev go into greater detail in the discussion of statistical applications and also consider inter polation and extrapolation as well as filtering.
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.
Stochastic Processes And Filtering Theory
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Author : Andrew H. Jazwinski
language : en
Publisher:
Release Date : 1974
Stochastic Processes And Filtering Theory written by Andrew H. Jazwinski and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1974 with categories.
Stochastic Processes And Filtering Theory
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Author : Andrew H. Jazwinski
language : en
Publisher:
Release Date : 1972
Stochastic Processes And Filtering Theory written by Andrew H. Jazwinski and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1972 with categories.
Statistics Of Random Processes Ii
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Author : Robert Shevilevich Lipt︠s︡er
language : en
Publisher: Springer Science & Business Media
Release Date : 2001
Statistics Of Random Processes Ii written by Robert Shevilevich Lipt︠s︡er 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 2001 with Mathematics categories.
"Written by two renowned experts in the field, the books under review contain a thorough and insightful treatment of the fundamental underpinnings of various aspects of stochastic processes as well as a wide range of applications. Providing clear exposition, deep mathematical results, and superb technical representation, they are masterpieces of the subject of stochastic analysis and nonlinear filtering....These books...will become classics." --SIAM REVIEW
Filtering For Stochastic Processes With Applications To Guidance
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Author : Richard S. Bucy
language : en
Publisher: American Mathematical Soc.
Release Date : 2005
Filtering For Stochastic Processes With Applications To Guidance written by Richard S. Bucy and has been published by American Mathematical Soc. this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Mathematics categories.
This second edition preserves the original text of 1968, with clarification and added references. From the Preface to the Second Edition: ``Since the First Edition of this book, numerous important results have appeared--in particular stochastic integrals with respect to martingales, random fields, Riccati equation theory and realization of nonlinear filters, to name a few. In Appendix D, an attempt is made to provide some of the references that the authors have found useful and tocomment on the relation of the cited references to the field ... [W]e hope that this new edition will have the effect of hastening the day when the nonlinear filter will enjoy the same popularity in applications as the linear filter does now.''
Stationary Stochastic Processes
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Author : Georg Lindgren
language : en
Publisher: CRC Press
Release Date : 2012-10-01
Stationary Stochastic Processes written by Georg Lindgren and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-10-01 with Mathematics categories.
Intended for a second course in stationary processes, Stationary Stochastic Processes: Theory and Applications presents the theory behind the field’s widely scattered applications in engineering and science. In addition, it reviews sample function properties and spectral representations for stationary processes and fields, including a portion on stationary point processes. Features Presents and illustrates the fundamental correlation and spectral methods for stochastic processes and random fields Explains how the basic theory is used in special applications like detection theory and signal processing, spatial statistics, and reliability Motivates mathematical theory from a statistical model-building viewpoint Introduces a selection of special topics, including extreme value theory, filter theory, long-range dependence, and point processes Provides more than 100 exercises with hints to solutions and selected full solutions This book covers key topics such as ergodicity, crossing problems, and extremes, and opens the doors to a selection of special topics, like extreme value theory, filter theory, long-range dependence, and point processes, and includes many exercises and examples to illustrate the theory. Precise in mathematical details without being pedantic, Stationary Stochastic Processes: Theory and Applications is for the student with some experience with stochastic processes and a desire for deeper understanding without getting bogged down in abstract mathematics.
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 presents material previously available only in journals, and in terms accessible to engineering students. Although theory is emphasized, it discusses numerous practical applications as well. 1970 edition.
Stochastic Evolution Systems
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Author : B.L. Rozovskii
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Stochastic Evolution Systems written by B.L. Rozovskii 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 2012-12-06 with Mathematics categories.
Covering the general theory of linear stochastic evolution systems with unbounded drift and diffusion operators, this book sureys Ito's second-order parabolic equations and explores filtering problems for processes whose trajectories can be described by them.