Introduction to Stochastic Filtering Theory, an. Oxford Graduate Texts in Mathematics, Volume 18 |
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Author:
| Xiong, Jie |
Series title: | Oxford Graduate Texts in Mathematics; Oxford Mathematics Ser. |
ISBN: | 978-1-281-82550-6 |
Publication Date: | Nov 2008 |
Publisher: | Oxford University Press
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Book Format: | Ebook |
List Price: | USD $165.84 |
Book Description:
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Stochastic filtering theory is a field that has seen a rapid development in recent years and this book, aimed at graduates and researchers in applied mathematics, provides an accessible introduction covering recent developments. -;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...
More DescriptionStochastic filtering theory is a field that has seen a rapid development in recent years and this book, aimed at graduates and researchers in applied mathematics, provides an accessible introduction covering recent developments. -;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 filteringmodels 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.