Fundamentals of Stochastic Filtering

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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. ...

Fundamentals of Stochastic Filtering 2010, Springer-Verlag New York Inc., New York, NY

ISBN-13: 9781441926425


Fundamentals of Stochastic Filtering 2008, Springer, New York, NY

ISBN-13: 9780387768953

2009 edition