An introduction to stochastic filtering theory / Jie Xiong.

Format:

Book

Author/Creator:

Xiong, Jie, author.

Series:

Oxford graduate texts in mathematics ; 18.

Oxford scholarship online.

Oxford graduate texts in mathematics ; 18

Oxford scholarship online

Language:

English

Subjects (All):

Stochastic processes.

Filters (Mathematics).

Prediction theory.

Physical Description:

1 online resource (285 p.)

Place of Publication:

Oxford : Oxford University Press, 2023.

Language Note:

English

Summary:

Stochastic filtering theory uses probability tools to estimate unobservable stochastic processes that arise in many applied fields including communication, target-tracking, and mathematical finance. The topic has progressed rapidly in recent years, and this book introduces it for graduates and researchers.

Contents:

Contents; 1 Introduction; 2 Brownian motion and martingales; 3 Stochastic integrals and Itô's formula; 4 Stochastic differential equations; 5 Filtering model and Kallianpur-Striebel formula; 6 Uniqueness of the solution for Zakai's equation; 7 Uniqueness of the solution for the filtering equation; 8 Numerical methods; 9 Linear filtering; 10 Stability of non-linear filtering; 11 Singular filtering; Bibliography; List of Notations; Index

Notes:

Formerly CIP.

Previously issued in print: 2008.

Includes bibliographical references (pages [255]-265) and index.

Derived record based on print version record and publisher information.

ISBN:

1-383-03593-8

1-281-82550-6

9786611825508

0-19-155139-2

OCLC:

276222156