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  • Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
Fundamentals of Stochastic Filtering

Fundamentals of Stochastic Filtering

Crisan, Dan
Bain, Alan

Hardcover

Series: Stochastic Modelling and Applied Probability, Book 60

General MathematicsProbability & Statistics

ISBN10: 0387768955
ISBN13: 9780387768953
Publisher: Springer
Published: Oct 23 2008
Pages: 390
Weight: 1.50
Height: 1.00 Width: 9.30 Depth: 6.30
Language: English

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 to be familiar with measure theory, probability theory and the basics of stochastic processes. Most of the technical results that are required are stated and proved in the appendices. The book is intended as a reference for graduate students and researchers interested in the field. It is also suitable for use as a text for a graduate level course on stochastic filtering (suitable exercises and solutions are included).

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