An Introduction to Stochastic Filtering Theory

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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 been extensively studied to seek more effective numerical approximations of the optimal filter; the stability of the filter with "incorrect" initial state, as well ...

An Introduction to Stochastic Filtering Theory 2008, Oxford University Press, USA, Oxford, England

ISBN-13: 9780199219704

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