Nonlinear Filtering and Smoothing
Subtitle: An Introduction to Martingales, Stochastic Integrals and Estimation
Publisher: Dover Publications, Inc.
Published: 2005
Place of publication: Mineola, NY
Language: eng
Number of pages: 336
ISBN-13: 9780486441641
Subjects: Probability; Martingales (Mathematics); Stochastic Integrals.; Stochastic Processes; Optimal Nonlinear Filtering; Optimal Smoothing
Description: Appropriate for upper-level undergraduates and graduate students, this volume addresses the fundamental concepts of martingales, stochastic integrals, and estimation. Written by an engineer for engineers, it emphasizes applications. Many theorems feature heuristic proofs; others include rigorous proofs to reinforce physical understanding. Numerous end-of-chapter problems enhance the book's practical value.