Stochastic processes and filtering theory This book presents a unified treatment of linear and nonlinear filtering theory for engineers with sufficient emphasis on applications to enable the reader to use the theory. The need for this book is twofold. First although linear estimation theory is relatively well known it is largely scattered in the journal literature and has not been collected in a single source. Second available literature on the continuous nonlinear theory is quite esoteric and controversial and thus inaccessible to engineers uninitiated in measure theory and stochastic differential equations