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Fundamentals of Stochastic Filtering - Alan Bain

Fundamentals of Stochastic Filtering

By: Alan Bain, Dan Crisan

eText | 8 October 2008

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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.
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Non-FictionMathematicsApplied MathematicsProbability & StatisticsCalculus & Mathematical AnalysisFunctional Analysis & TransformsOptimisationGame TheoryEngineering & TechnologyElectronics & Communications EngineeringElectronics EngineeringAutomatic Control Engineering
Numerical AnalysisEnergy Technology & EngineeringElectrical Engineering

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Published: 12th February 2010

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