Probability Theory, Statistics

Nonlinear Filtering and Smoothing: An Introduction to Martingales, Stochastic Integrals and Estimation

Name: Nonlinear Filtering and Smoothing: An Introduction to Martingales, Stochastic Integrals and Estimation
Author: Venkatarama Krishnan
ISBN: 9780486441641

by Venkatarama Krishnan

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Overview

Appropriate for upper-level undergraduates and graduate students, this volume addresses the fundamental concepts of martingales, stochastic integrals, and estimation. Written by an engineer for engineers, 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.