An Introduction to Stochastic Filtering Theory

An Introduction to Stochastic Filtering Theory pdf epub mobi txt 電子書 下載2025

出版者:Oxford University Press, USA
作者:Jie Xiong
出品人:
頁數:224
译者:
出版時間:2008-9-15
價格:USD 99.00
裝幀:Hardcover
isbn號碼:9780199219704
叢書系列:Oxford Graduate Texts in Mathematics
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Stochastic Filtering Theory uses probability tools to estimate unobservable stochastic processes that arise in many applied fields including communication, target-tracking, and mathematical finance. As a topic, Stochastic Filtering Theory has progressed rapidly in recent years. For example, the (branching) particle system representation of the optimal filter has been extensively studied to seek more effective numerical approximations of the optimal filter; the stability of the filter with "incorrect" initial state, as well as the long-term behavior of the optimal filter, has attracted the attention of many researchers; and although still in its infancy, the study of singular filtering models has yielded exciting results. In this text, Jie Xiong introduces the reader to the basics of Stochastic Filtering Theory before covering these key recent advances. The text is written in a style suitable for graduates in mathematics and engineering with a background in basic probability.

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