The Oxford Handbook of Nonlinear Filtering

摘要

This is an excellent collection of 35 well-written papers by about 50 leading scientists. The papers deal with different aspects of non-linear filtering (NLF) problems. The introduction written by the editors provides a comprehensive overview of NLF problems. The idea is that we deal with a two-component dynamic stochastic system, say (X_t; Y_t), t ≥ 0, where X,, t ≥ 0, is a non-observable signal, and all the information in it is contained in the observable process Y,, t ≥ 0, which in some way depends on the signal. The processes involved may have discrete or continuous time and discrete or continuous state space.