An introduction to stochastic filtering theory [[electronic resource] /] / Jie Xiong

• Record Nr.: UNINA9910825354503321
• Autore: Xiong Jie
• Pubbl/distr/stampa: Oxford ; ; New York, : Oxford University Press, 2008
• ISBN: 1-383-03593-8; 1-281-82550-6; 9786611825508; 0-19-155139-2
• Descrizione fisica: 1 online resource (285 p.)
• Collana: Oxford graduate texts in mathematics ; ; 18
• Disciplina: 519.2/3
• Soggetti: Stochastic processes; Filters (Mathematics); Prediction theory
• Lingua di pubblicazione: Inglese
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Note generali: Description based upon print version of record.
• Nota di bibliografia: Includes bibliographical references (p. [255]-265) and index.
• Nota di contenuto: 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
• Sommario/riassunto: 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 rapidly in recent years. For example, the (branching) particle system representation of the optimal filter has bee