Fundamentals of Stochastic Filtering
Alan Bain author Dan Crisan author
Format:Paperback
Publisher:Springer-Verlag New York Inc.
Published:19th Nov '10
Currently unavailable, currently targeted to be due back around 5th April 2025, but could change
This paperback is available in another edition too:
- Hardback£119.99(9780387768953)

This book provides 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 background to enable study of the recent literature. While no prior knowledge of stochastic filtering is required, readers are assumed to be familiar with measure theory, probability theory and the basics of stochastic processes. Most of the technical results that are required are stated and proved in the appendices. Exercises and solutions are included.
From the reviews:
“This book provides a rigorous mathematical treatment of the nonlinear stochastic filtering problem with particular emphasis on numerical methods. … The text is essentially self-contained … . In an appendice the required results from measure theory and stochastic analysis are stated and proved. Intended readers are researchers and graduate students that have an interest in theoretical aspects of stochastic filtering. The text is supplemented with many exercises and detailed solutions. … a standard reference for teaching and working in the field of stochastic filtering.” (H. M. Mai,Zentralblatt MATH, Vol. 1176, 2010)
“This book is one of the few books dealing with both the theoretical foundations and modern stochastic particle techniques in stochastic filtering through the entire text. … I highly recommend this book to any researcher in applied mathematics, as well as to any researchers in engineering and computer sciences with some background in statistics and probability. … The book can also serve as a useful text for an informal seminar or a second year graduate course on stochastic filtering.” (Pierre Del Moral, Bulletin of the American Mathematical Society, Vol. 48 (2), April, 2011)
ISBN: 9781441926425
Dimensions: unknown
Weight: 617g
390 pages
1st ed. Softcover of orig. ed. 2009