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Fundamentals of Stochastic Filtering [2009]
- 1
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Introduction
- 13
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The Stochastic Process π
- 47
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The Filtering Equations
- 95
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Uniqueness of the Solution to the Zakai and the Kushner–Stratonovich Equations
- 127
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The Robust Representation Formula
- 141
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Finite-Dimensional Filters
- 165
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The Density of the Conditional Distribution of the Signal
- 191
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Numerical Methods for Solving the Filtering Problem
- 221
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A Continuous Time Particle Filter
- 257
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Particle Filters in Discrete Time