Fundamentals of Stochastic Filtering

Name: Fundamentals of Stochastic Filtering
SKU: 10182329
Price: 291.99 AUD
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Paperback / softback

Series:

Stochastic Modelling and Applied Probability

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Description

Many aspects of phenomena critical to our lives can not be measured directly. Fortunately models of these phenomena, together with more limited obs- vations frequently allow us to make reasonable inferences about the state of the systems that a?ect us. The process of using partial observations and a stochastic model to make inferences about an evolving system is known as stochastic ?ltering. The objective of this text is to assist anyone who would like to become familiar with the theory of stochastic ?ltering, whether graduate student or more experienced scientist. The majority of the fundamental results of the subject are presented using modern methods making them readily available for reference. The book may also be of interest to practitioners of stochastic ?ltering, who wish to gain a better understanding of the underlying theory. Stochastic ?ltering in continuous time relies heavily on measure theory, stochasticprocessesandstochasticcalculus.Whileknowledgeofbasicmeasure theory and probability is assumed, the text is largely self-contained in that the majority of the results needed are stated in two appendices. This should make it easy for the book to be used as a graduate teaching text. With this in mind, each chapter contains a number of exercises, with solutions detailed at the end of the chapter.

Release date Australia

November 19th, 2010

Author

Audience

Professional & Vocational

Illustrations

XIII, 390 p.

Pages

390

Series

Stochastic Modelling and Applied Probability

Dimensions

156x234x21

ISBN-13

9781441926425

Product ID

10182329

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