The Geometry of Filtering

by Xue-Mei Li, K. David Elworthy, Yves LeJan

Filtering is the science of nding the law of a process given a partial observation of it. The main objects we study here are di usion processes. These are naturally associated with second-order linear di erential operators which are semi-elliptic and so introduce a possibly degenerate Riemannian structure on the state space. In fact, much of what we discuss is simply about two such operators intertwined by a smooth map, the \projection from the state...

• Format: Paperback
• Language: English
• ISBN: 3034601751
• ISBN13: 9783034601757
• Release Date: November 2010
• Publisher: Birkhauser
• Length: 169 Pages
• Weight: 0.66 lbs.
• Dimensions: 0.6" x 6.6" x 9.3"