Fundamentals of stochastic filtering /
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| Author / Creator: | Bain, Alan. |
|---|---|
| Imprint: | New York ; London : Springer, 2009. |
| Description: | 1 online resource (xiii, 390 p.) |
| Language: | English |
| Series: | Stochastic modelling and applied probability ; 60 Stochastic modelling and applied probability ; 60. |
| Subject: | |
| Format: | E-Resource Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/11957424 |
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| 100 | 1 | |a Bain, Alan. |0 http://id.loc.gov/authorities/names/no2010042387 |1 http://viaf.org/viaf/94495641 | |
| 245 | 1 | 0 | |a Fundamentals of stochastic filtering / |c by Alan Bain, Dan Crisan. |
| 260 | |a New York ; |a London : |b Springer, |c 2009. | ||
| 300 | |a 1 online resource (xiii, 390 p.) | ||
| 336 | |a text |b txt |2 rdacontent |0 http://id.loc.gov/vocabulary/contentTypes/txt | ||
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| 490 | 1 | |a Stochastic modelling and applied probability ; |v 60 | |
| 504 | |a Includes bibliographical references (p. [367]-382) and indexes. | ||
| 505 | 0 | |a pt. 1. Filtering theory -- pt. 2. Numerical algorithms -- pt. 3. Appendices. | |
| 520 | |a The objective of stochastic filtering is to determine the best estimate for the state of a stochastic dynamical system from partial observations. The solution of this problem in the linear case is the well known Kalman-Bucy filter which has found widespread practical application. The purpose of this book is to provide a rigorous mathematical treatment of the non-linear stochastic filtering problem using modern methods. Particular emphasis is placed on the theoretical analysis of numerical methods for the solution of the filtering problem via particle methods. The book should provide sufficient | ||
| 650 | 0 | |a Stochastic processes. |0 http://id.loc.gov/authorities/subjects/sh85128181 | |
| 650 | 0 | |a Filters (Mathematics) |0 http://id.loc.gov/authorities/subjects/sh85048251 | |
| 650 | 1 | 4 | |a Mathematics. |
| 650 | 2 | 4 | |a Control Engineering. |
| 650 | 2 | 4 | |a Numerical analysis. |
| 650 | 2 | 4 | |a Probability Theory and Stochastic Processes. |
| 650 | 2 | 4 | |a Quantitative Finance. |
| 650 | 7 | |a MATHEMATICS |x Probability & Statistics |x General. |2 bisacsh | |
| 655 | 4 | |a Electronic books. | |
| 650 | 7 | |a Filters (Mathematics) |2 fast |0 http://id.worldcat.org/fast/fst00924327 | |
| 650 | 7 | |a Stochastic processes. |2 fast |0 http://id.worldcat.org/fast/fst01133519 | |
| 700 | 1 | |a Crisan, Dan. |0 http://id.loc.gov/authorities/names/nb2008027914 |1 http://viaf.org/viaf/33993098 | |
| 776 | 0 | 8 | |i Print version: |a Bain, Alan. |t Fundamentals of stochastic filtering. |d New York : Springer, c2009 |z 9780387768953 |w (DLC) 2008938477 |w (OCoLC)213479403 |
| 830 | 0 | |a Stochastic modelling and applied probability ; |v 60. | |
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