Fundamentals of Stochastic Filtering

by Dan Crisan and Alan Bain

The purpose of this book is to provide 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...

• Format: Hardcover
• Language: English
• ISBN: 0387768955
• ISBN13: 9780387768953
• Release Date: October 2008
• Publisher: Springer
• Length: 390 Pages
• Weight: 1.50 lbs.
• Dimensions: 1.0" x 9.3" x 6.3"