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Mathematics of Kalman-Bucy Filtering /

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This book addresses the mathematics of Kalman-Bucy filtering and is designed for readers who are well versed in the practice of Kalman-Bucy filters but are interested in the mathematics on which they are based. The main topic in this book is the continuous-time Kalman-Bucy filter. Although the discr...

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Bibliographic Details
Main Author: Ruymgaart, Peter A.
Corporate Author: SpringerLink (Online service)
Other Authors: Soong, T. T.
Format: eBook
Language:English
Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 1988.
Edition:Second edition.
Series:Springer series in information sciences ; 14.
Subjects:
Computer science.
Coding theory.
Distribution (Probability theory)
Statistics.
Electronic books.
Online Access:Connect to the full text of this electronic book
Table of Contents:
  • Elements of Probability Theory
  • Calculus in Mean Square
  • The Stochastic Dynamic System
  • The Kalman-Bucy Filter
  • A Theorem by Liptser and Shiryayev
  • Appendix: Solutions to Selected Exercises
  • References
  • Subject Index.