Nonlinear Filtering and Optimal Phase Tracking

• Main Author: Schuss, Zeev (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Boston, MA : Springer US : Imprint: Springer, 2012.
• Series: Applied Mathematical Sciences, 180
• Subjects: Mathematics.; Partial differential equations.; Probabilities.; Physics.; Probability Theory and Stochastic Processes.; Theoretical, Mathematical and Computational Physics.; Partial Differential Equations.

  This book offers an analytical rather than measure-theoretical approach to the derivation of the partial differential equations of nonlinear filtering theory. The basis for this approach is the discrete numerical scheme used in Monte-Carlo simulations of stochastic differential equations and Wiene...

Table of Contents:

• Diffusion and Stochastic Differential Equations
• Euler's Simulation Scheme and Wiener's Measure
• Nonlinear Filtering and Smoothing of Diffusions
• Small Noise Analysis of Zakai's Equation
• Loss of Lock in Phase Trackers
• Loss of Lock in RADAR and Synchronization
• Phase Tracking with Optimal Lock Time
• Bibliography
• Index.