Stochastic Processes and Filtering Theory

Thisunifiedtreatmentoflinearandnonlinearfilteringtheorypresentsmaterialpreviouslyavailableonlyinjournals,andintermsaccessibletoengineeringstudents.Itssoleprerequisitesareadvancedcalculus,thetheoryofordinarydifferentialequations,andmatrixanalysis.Althoughtheoryisemphasized,thetextdiscussesnumerouspracticalapplicationsaswell.
Takingthestate-spaceapproachtofiltering,thistextmodelsdynamicalsystemsbyfinite-dimensionalMarkovprocesses,outputsofstochasticdifference,anddifferentialequations.Startingwithbackgroundmaterialonprobabilitytheoryandstochasticprocesses,theauthorintroducesanddefinestheproblemsoffiltering,prediction,andsmoothing.Hepresentsthemathematicalsolutionstononlinearfilteringproblems,andhespecializesthenonlineartheorytolinearproblems.Thefinalchaptersdealwithapplications,addressingthedevelopmentofapproximatenonlinearfilters,andpresentingacriticalanalysisoftheirperformance.