Filtering for Some Stochastic Processes with Discrete Observations PDF Download

Author: Oleg V. Makhnin
Publisher:
ISBN:
Category : Filters (Mathematics)
Languages : en
Pages : 130

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Author: Alan Bain
Publisher: Springer Science & Business Media
ISBN: 0387768963
Category : Mathematics
Languages : en
Pages : 395

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Book Description
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.

Author: Andrew H. Jazwinski
Publisher: Courier Corporation
ISBN: 0486318192
Category : Science
Languages : en
Pages : 404

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Book Description
This unified treatment of linear and nonlinear filtering theory presents material previously available only in journals, and in terms accessible to engineering students. Its sole prerequisites are advanced calculus, the theory of ordinary differential equations, and matrix analysis. Although theory is emphasized, the text discusses numerous practical applications as well. Taking the state-space approach to filtering, this text models dynamical systems by finite-dimensional Markov processes, outputs of stochastic difference, and differential equations. Starting with background material on probability theory and stochastic processes, the author introduces and defines the problems of filtering, prediction, and smoothing. He presents the mathematical solutions to nonlinear filtering problems, and he specializes the nonlinear theory to linear problems. The final chapters deal with applications, addressing the development of approximate nonlinear filters, and presenting a critical analysis of their performance.

Author: Vikram Krishnamurthy
Publisher: Cambridge University Press
ISBN: 1107134609
Category : Mathematics
Languages : en
Pages : 491

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Book Description
This book covers formulation, algorithms, and structural results of partially observed Markov decision processes, whilst linking theory to real-world applications in controlled sensing. Computations are kept to a minimum, enabling students and researchers in engineering, operations research, and economics to understand the methods and determine the structure of their optimal solution.

Author: Richard S. Bucy
Publisher: American Mathematical Soc.
ISBN: 9780821837825
Category : Mathematics
Languages : en
Pages : 240

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Book Description
This second edition preserves the original text of 1968, with clarification and added references. From the Preface to the Second Edition: ``Since the First Edition of this book, numerous important results have appeared--in particular stochastic integrals with respect to martingales, random fields, Riccati equation theory and realization of nonlinear filters, to name a few. In Appendix D, an attempt is made to provide some of the references that the authors have found useful and tocomment on the relation of the cited references to the field ... [W]e hope that this new edition will have the effect of hastening the day when the nonlinear filter will enjoy the same popularity in applications as the linear filter does now.''

Author: Samuel N Cohen
Publisher: World Scientific
ISBN: 9814483915
Category : Mathematics
Languages : en
Pages : 605

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Book Description
This book consists of a series of new, peer-reviewed papers in stochastic processes, analysis, filtering and control, with particular emphasis on mathematical finance, actuarial science and engineering. Paper contributors include colleagues, collaborators and former students of Robert Elliott, many of whom are world-leading experts and have made fundamental and significant contributions to these areas.This book provides new important insights and results by eminent researchers in the considered areas, which will be of interest to researchers and practitioners. The topics considered will be diverse in applications, and will provide contemporary approaches to the problems considered. The areas considered are rapidly evolving. This volume will contribute to their development, and present the current state-of-the-art stochastic processes, analysis, filtering and control.Contributing authors include: H Albrecher, T Bielecki, F Dufour, M Jeanblanc, I Karatzas, H-H Kuo, A Melnikov, E Platen, G Yin, Q Zhang, C Chiarella, W Fleming, D Madan, R Mamon, J Yan, V Krishnamurthy.

Author: Volker Roth
Publisher: Springer
ISBN: 3319667092
Category : Computers
Languages : en
Pages : 428

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Book Description
This book constitutes the refereed proceedings of the 39th German Conference on Pattern Recognition, GCPR 2017, held in Basel, Switzerland, in September 2017.The 33 revised full papers presented were carefully reviewed and selected from 60 submissions. The papers are organized in topical sections on biomedical image processing and analysis; classification and detection; computational photography; image and video processing; machine learning and pattern recognition; mathematical foundations, statistical data analysis and models; motion and segmentation; pose, face and gesture; reconstruction and depth; and tracking.

Author: Peter A. Ruymgaart
Publisher: Springer Science & Business Media
ISBN: 3642733417
Category : Mathematics
Languages : en
Pages : 182

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Book Description
The second edition has not deviated significantly from the first. The printing of this edition, however, has allowed us to make a number of corrections which escaped our scrutiny at the time of the first printing, and to generally improve and tighten our presentation of the material. Many of these changes were suggested to us by colleagues and readers and their kindness in doing so is greatly appreciated. Delft, The Netherlands and P. A. Ruymgaart Buffalo, New York, December, 1987 T. T. Soong Preface to the First Edition Since their introduction in the mid 1950s, the filtering techniques developed by Kalman, and by Kalman and Bucy have been widely known and widely used in all areas of applied sciences. Starting with applications in aerospace engineering, their impact has been felt not only in all areas of engineering but as all also in the social sciences, biological sciences, medical sciences, as well other physical sciences. Despite all the good that has come out of this devel opment, however, there have been misuses because the theory has been used mainly as a tool or a procedure by many applied workers without fully understanding its underlying mathematical workings. This book addresses a mathematical approach to Kalman-Bucy filtering and is an outgrowth of lectures given at our institutions since 1971 in a sequence of courses devoted to Kalman-Bucy filters.

Author: Andrey Popoff
Publisher: CRC Press
ISBN: 1000572005
Category : Technology & Engineering
Languages : en
Pages : 839

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Book Description
Exploring the interrelations between generalized metric spaces, lattice-ordered groups, and order statistics, the book contains a new algebraic approach to Signal Processing Theory. It describes mathematical concepts and results important in the development, analysis, and optimization of signal processing algorithms intended for various applications. The book offers a solution of large-scale Signal Processing Theory problems of increasing both signal processing efficiency under prior uncertainty conditions and signal processing rate that is provided by multiplication-free signal processing algorithms based on lattice-ordered group operations. From simple basic relationships to computer simulation, the text covers a wide range of new mathematical techniques essential for understanding the proposed signal processing algorithms developed for solving the following problems: signal parameter and spectral estimation, signal filtering, detection, classification, and resolution; array signal processing; demultiplexing and demodulation in multi-channel communication systems and multi-station networks; wavelet analysis of 1D/ 2D signals. Along with discussing mathematical aspects, each chapter presents examples illustrating operation of signal processing algorithms developed for various applications. The book helps readers understand relations between known classic and obtained results as well as recent research trends in Signal Processing Theory and its applications, providing all necessary mathematical background concerning lattice-ordered groups to prepare readers for independent work in the marked directions including more advanced research and development.

Author: Erik Lindström
Publisher: CRC Press
ISBN: 1315360217
Category : Business & Economics
Languages : en
Pages : 354

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Book Description
Statistics for Finance develops students’ professional skills in statistics with applications in finance. Developed from the authors’ courses at the Technical University of Denmark and Lund University, the text bridges the gap between classical, rigorous treatments of financial mathematics that rarely connect concepts to data and books on econometrics and time series analysis that do not cover specific problems related to option valuation. The book discusses applications of financial derivatives pertaining to risk assessment and elimination. The authors cover various statistical and mathematical techniques, including linear and nonlinear time series analysis, stochastic calculus models, stochastic differential equations, Itō’s formula, the Black–Scholes model, the generalized method-of-moments, and the Kalman filter. They explain how these tools are used to price financial derivatives, identify interest rate models, value bonds, estimate parameters, and much more. This textbook will help students understand and manage empirical research in financial engineering. It includes examples of how the statistical tools can be used to improve value-at-risk calculations and other issues. In addition, end-of-chapter exercises develop students’ financial reasoning skills.