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Nonlinear Filtering and Optimal Phase Tracking

By Zeev Schuss
eBook
$54.99
By Zeev Schuss
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This book offers an analytical rather than measure-theoretical approach to the derivation of the partial differential equations of nonlinear filtering theory. The basis for this approach is the discrete numerical scheme used in Monte-Carlo simulations of stochastic differential equations and Wiener's associated path integral representation of the transition probability density. Furthermore, it presents analytical methods for constructing asymptotic approximations to their solution and for ...

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Science & TechnologyMathematicsProbability TheoryStatistics