Fundamentals of Stochastic Filtering
The objective of stochastic filtering is to determine the best estimate for the state of a stochastic dynamical system from partial observations. The solution of this problem in the linear case is the well known Kalman-Bucy filter which has found widespread practical application. The purpose of this...
Main Authors: | , |
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Corporate Author: | |
Format: | Electronic eBook |
Language: | English |
Published: |
New York, NY :
Springer New York : Imprint: Springer,
2009.
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Series: | Stochastic Modelling and Applied Probability,
60 |
Subjects: | |
Online Access: | Full Text via HEAL-Link |
Table of Contents:
- Filtering Theory
- The Stochastic Process ?
- The Filtering Equations
- Uniqueness of the Solution to the Zakai and the Kushner–Stratonovich Equations
- The Robust Representation Formula
- Finite-Dimensional Filters
- The Density of the Conditional Distribution of the Signal
- Numerical Algorithms
- Numerical Methods for Solving the Filtering Problem
- A Continuous Time Particle Filter
- Particle Filters in Discrete Time.