Nonlinear Filtering and Optimal Phase Tracking (Applied Mathematical Sciences) by Zeev Schuss
English | Nov 17, 2011 | ISBN: 146140486X | 275 Pages | PDF | 2 MB
English | Nov 17, 2011 | ISBN: 146140486X | 275 Pages | PDF | 2 MB
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.