| Description |
1 online resource (xiii, 270 pages). |
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text file |
| Series |
Oxford graduate texts in mathematics ; 18
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Oxford mathematics
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Oxford graduate texts in mathematics ; 18.
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Oxford mathematics.
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| Bibliography |
Includes bibliographical references and index. |
| Contents |
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. |
| Summary |
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. |
| Local Note |
eBooks on EBSCOhost EBSCO eBook Subscription Academic Collection - North America |
| Subject |
Stochastic processes.
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Stochastic processes. |
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Filters (Mathematics)
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Filters (Mathematics) |
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Prediction theory.
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Prediction theory. |
| Genre/Form |
Electronic books.
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| Other Form: |
Print version: Xiong, Jie. Introduction to stochastic filtering theory. Oxford, UK : Oxford University Press, 2008 (DLC) 2008004176 |
| ISBN |
0191551392 (electronic book) |
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9780199219704 |
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0199219702 |
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9780191551390 (ebook) |
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0191551392 (ebook) |
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0199219702 (Cloth) |
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