Fundamentals Of Stochastic Filtering

Author : Alan Bain,Dan Crisan
Publisher : Springer Science & Business Media
Page : 395 pages
File Size : 51,5 Mb
Release : 2008-10-08
Category : Mathematics
ISBN : 9780387768960

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Fundamentals of Stochastic Filtering by Alan Bain,Dan Crisan Pdf

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 : Alan Bain,Dan Crisan
Publisher : Springer
Page : 0 pages
File Size : 48,7 Mb
Release : 2008-11-01
Category : Mathematics
ISBN : 0387568549

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Fundamentals of Stochastic Filtering by Alan Bain,Dan Crisan Pdf

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 : Jie Xiong
Publisher : Oxford University Press on Demand
Page : 285 pages
File Size : 51,7 Mb
Release : 2008-04-17
Category : Business & Economics
ISBN : 9780199219704

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An Introduction to Stochastic Filtering Theory by Jie Xiong Pdf

Stochastic filtering theory is a field that has seen a rapid development in recent years and this book, aimed at graduates and researchers in applied mathematics, provides an accessible introduction covering recent developments.

Author : Dan Crisan
Publisher : Springer Science & Business Media
Page : 299 pages
File Size : 44,5 Mb
Release : 2010-11-26
Category : Mathematics
ISBN : 9783642153587

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Stochastic Analysis 2010 by Dan Crisan Pdf

Stochastic Analysis aims to provide mathematical tools to describe and model high dimensional random systems. Such tools arise in the study of Stochastic Differential Equations and Stochastic Partial Differential Equations, Infinite Dimensional Stochastic Geometry, Random Media and Interacting Particle Systems, Super-processes, Stochastic Filtering, Mathematical Finance, etc. Stochastic Analysis has emerged as a core area of late 20th century Mathematics and is currently undergoing a rapid scientific development. The special volume “Stochastic Analysis 2010” provides a sample of the current research in the different branches of the subject. It includes the collected works of the participants at the Stochastic Analysis section of the 7th ISAAC Congress organized at Imperial College London in July 2009.

Author : G. Kallianpur
Publisher : Springer Science & Business Media
Page : 326 pages
File Size : 47,5 Mb
Release : 2013-04-17
Category : Science
ISBN : 9781475765922

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Stochastic Filtering Theory by G. Kallianpur Pdf

This book is based on a seminar given at the University of California at Los Angeles in the Spring of 1975. The choice of topics reflects my interests at the time and the needs of the students taking the course. Initially the lectures were written up for publication in the Lecture Notes series. How ever, when I accepted Professor A. V. Balakrishnan's invitation to publish them in the Springer series on Applications of Mathematics it became necessary to alter the informal and often abridged style of the notes and to rewrite or expand much of the original manuscript so as to make the book as self-contained as possible. Even so, no attempt has been made to write a comprehensive treatise on filtering theory, and the book still follows the original plan of the lectures. While this book was in preparation, the two-volume English translation of the work by R. S. Liptser and A. N. Shiryaev has appeared in this series. The first volume and the present book have the same approach to the sub ject, viz. that of martingale theory. Liptser and Shiryaev go into greater detail in the discussion of statistical applications and also consider inter polation and extrapolation as well as filtering.

Author : Andrew H. Jazwinski
Publisher : Courier Corporation
Page : 404 pages
File Size : 41,9 Mb
Release : 2013-04-15
Category : Science
ISBN : 9780486318196

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Stochastic Processes and Filtering Theory by Andrew H. Jazwinski Pdf

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 : Ali H. Sayed
Publisher : John Wiley & Sons
Page : 1178 pages
File Size : 41,9 Mb
Release : 2003-06-13
Category : Science
ISBN : 0471461261

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Fundamentals of Adaptive Filtering by Ali H. Sayed Pdf

This book is based on a graduate level course offered by the author at UCLA and has been classed tested there and at other universities over a number of years. This will be the most comprehensive book on the market today providing instructors a wide choice in designing their courses. * Offers computer problems to illustrate real life applications for students and professionals alike * An Instructor's Manual presenting detailed solutions to all the problems in the book is available from the Wiley editorial department. An Instructor's Manual presenting detailed solutions to all the problems in the book is available from the Wiley editorial department.

Author : Debasish Roy,G. Visweswara Rao,Gorti G.
Publisher : Cambridge University Press
Page : 749 pages
File Size : 44,5 Mb
Release : 2017-05-04
Category : Mathematics
ISBN : 9781107182646

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Stochastic Dynamics, Filtering and Optimization by Debasish Roy,G. Visweswara Rao,Gorti G. Pdf

This book introduces essential concepts in stochastic processes that interface seamlessly with applications of interest in science and engineering.

Author : George Yin,Thaleia Zariphopoulou
Publisher : Springer Nature
Page : 466 pages
File Size : 43,6 Mb
Release : 2022-04-22
Category : Mathematics
ISBN : 9783030985196

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Stochastic Analysis, Filtering, and Stochastic Optimization by George Yin,Thaleia Zariphopoulou Pdf

This volume is a collection of research works to honor the late Professor Mark H.A. Davis, whose pioneering work in the areas of Stochastic Processes, Filtering, and Stochastic Optimization spans more than five decades. Invited authors include his dissertation advisor, past collaborators, colleagues, mentees, and graduate students of Professor Davis, as well as scholars who have worked in the above areas. Their contributions may expand upon topics in piecewise deterministic processes, pathwise stochastic calculus, martingale methods in stochastic optimization, filtering, mean-field games, time-inconsistency, as well as impulse, singular, risk-sensitive and robust stochastic control.

Author : Anonim
Publisher : Unknown
Page : 128 pages
File Size : 43,8 Mb
Release : 2024-06-06
Category : Electronic
ISBN : 9789814464987

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Stochastic Filtering with Applications in Finance by Anonim Pdf

Author : Venkatarama Krishnan
Publisher : Courier Corporation
Page : 353 pages
File Size : 47,7 Mb
Release : 2013-10-17
Category : Science
ISBN : 9780486781839

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Nonlinear Filtering and Smoothing by Venkatarama Krishnan Pdf

Most useful for graduate students in engineering and finance who have a basic knowledge of probability theory, this volume is designed to give a concise understanding of martingales, stochastic integrals, and estimation. It emphasizes applications. Many theorems feature heuristic proofs; others include rigorous proofs to reinforce physical understanding. Numerous end-of-chapter problems enhance the book's practical value. After introducing the basic measure-theoretic concepts of probability and stochastic processes, the text examines martingales, square integrable martingales, and stopping times. Considerations of white noise and white-noise integrals are followed by examinations of stochastic integrals and stochastic differential equations, as well as the associated Ito calculus and its extensions. After defining the Stratonovich integral, the text derives the correction terms needed for computational purposes to convert the Ito stochastic differential equation to the Stratonovich form. Additional chapters contain the derivation of the optimal nonlinear filtering representation, discuss how the Kalman filter stands as a special case of the general nonlinear filtering representation, apply the nonlinear filtering representations to a class of fault-detection problems, and discuss several optimal smoothing representations.

Author : Ramaprasad Bhar
Publisher : World Scientific
Page : 354 pages
File Size : 48,6 Mb
Release : 2010
Category : Business & Economics
ISBN : 9789814304856

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Stochastic Filtering with Applications in Finance by Ramaprasad Bhar Pdf

This book provides a comprehensive account of stochastic filtering as a modeling tool in finance and economics. It aims to present this very important tool with a view to making it more popular among researchers in the disciplines of finance and economics. It is not intended to give a complete mathematical treatment of different stochastic filtering approaches, but rather to describe them in simple terms and illustrate their application with real historical data for problems normally encountered in these disciplines. Beyond laying out the steps to be implemented, the steps are demonstrated in the context of different market segments. Although no prior knowledge in this area is required, the reader is expected to have knowledge of probability theory as well as a general mathematical aptitude. Its simple presentation of complex algorithms required to solve modeling problems in increasingly sophisticated financial markets makes this book particularly valuable as a reference for graduate students and researchers interested in the field. Furthermore, it analyses the model estimation results in the context of the market and contrasts these with contemporary research publications. It is also suitable for use as a text for graduate level courses on stochastic modeling.

Author : Dan Crisan,Ben Hambly,Thaleia Zariphopoulou
Publisher : Springer
Page : 503 pages
File Size : 52,8 Mb
Release : 2014-12-13
Category : Mathematics
ISBN : 9783319112923

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Stochastic Analysis and Applications 2014 by Dan Crisan,Ben Hambly,Thaleia Zariphopoulou Pdf

Articles from many of the main contributors to recent progress in stochastic analysis are included in this volume, which provides a snapshot of the current state of the area and its ongoing developments. It constitutes the proceedings of the conference on "Stochastic Analysis and Applications" held at the University of Oxford and the Oxford-Man Institute during 23-27 September, 2013. The conference honored the 60th birthday of Professor Terry Lyons FLSW FRSE FRS, Wallis Professor of Mathematics, University of Oxford. Terry Lyons is one of the leaders in the field of stochastic analysis. His introduction of the notion of rough paths has revolutionized the field, both in theory and in practice. Stochastic Analysis is the branch of mathematics that deals with the analysis of dynamical systems affected by noise. It emerged as a core area of mathematics in the late 20th century and has subsequently developed into an important theory with a wide range of powerful and novel tools, and with impressive applications within and beyond mathematics. Many systems are profoundly affected by stochastic fluctuations and it is not surprising that the array of applications of Stochastic Analysis is vast and touches on many aspects of life. The present volume is intended for researchers and Ph.D. students in stochastic analysis and its applications, stochastic optimization and financial mathematics, as well as financial engineers and quantitative analysts.

Author : George Yin,Qing Zhang
Publisher : Springer
Page : 599 pages
File Size : 54,9 Mb
Release : 2019-07-16
Category : Mathematics
ISBN : 9783030254988

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Modeling, Stochastic Control, Optimization, and Applications by George Yin,Qing Zhang Pdf

This volume collects papers, based on invited talks given at the IMA workshop in Modeling, Stochastic Control, Optimization, and Related Applications, held at the Institute for Mathematics and Its Applications, University of Minnesota, during May and June, 2018. There were four week-long workshops during the conference. They are (1) stochastic control, computation methods, and applications, (2) queueing theory and networked systems, (3) ecological and biological applications, and (4) finance and economics applications. For broader impacts, researchers from different fields covering both theoretically oriented and application intensive areas were invited to participate in the conference. It brought together researchers from multi-disciplinary communities in applied mathematics, applied probability, engineering, biology, ecology, and networked science, to review, and substantially update most recent progress. As an archive, this volume presents some of the highlights of the workshops, and collect papers covering a broad range of topics.

Author : Bertrand Chapron,Dan Crisan,Darryl Holm,Etienne Mémin,Anna Radomska
Publisher : Springer Nature
Page : 324 pages
File Size : 48,9 Mb
Release : 2022-12-13
Category : Mathematics
ISBN : 9783031189883

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Stochastic Transport in Upper Ocean Dynamics by Bertrand Chapron,Dan Crisan,Darryl Holm,Etienne Mémin,Anna Radomska Pdf

This open access proceedings volume brings selected, peer-reviewed contributions presented at the Stochastic Transport in Upper Ocean Dynamics (STUOD) 2021 Workshop, held virtually and in person at the Imperial College London, UK, September 20–23, 2021. The STUOD project is supported by an ERC Synergy Grant, and led by Imperial College London, the National Institute for Research in Computer Science and Automatic Control (INRIA) and the French Research Institute for Exploitation of the Sea (IFREMER). The project aims to deliver new capabilities for assessing variability and uncertainty in upper ocean dynamics. It will provide decision makers a means of quantifying the effects of local patterns of sea level rise, heat uptake, carbon storage and change of oxygen content and pH in the ocean. Its multimodal monitoring will enhance the scientific understanding of marine debris transport, tracking of oil spills and accumulation of plastic in the sea. All topics of these proceedings are essential to the scientific foundations of oceanography which has a vital role in climate science. Studies convened in this volume focus on a range of fundamental areas, including: Observations at a high resolution of upper ocean properties such as temperature, salinity, topography, wind, waves and velocity; Large scale numerical simulations; Data-based stochastic equations for upper ocean dynamics that quantify simulation error; Stochastic data assimilation to reduce uncertainty. These fundamental subjects in modern science and technology are urgently required in order to meet the challenges of climate change faced today by human society. This proceedings volume represents a lasting legacy of crucial scientific expertise to help meet this ongoing challenge, for the benefit of academics and professionals in pure and applied mathematics, computational science, data analysis, data assimilation and oceanography.