Nonlinear Filtering and Optimal Phase Tracking
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This book offers an analytical rather than measure-theoretical approach to the derivation of the partial differential equations of nonlinear filtering theory. The basis for this approach is the discrete numerical scheme used in Monte-Carlo simulations of stochastic differential equations and Wiener''s associated path integral representation of the transition probability density. Furthermore, it p...
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This book offers an analytical rather than measure-theoretical approach to the derivation of the partial differential equations of nonlinear filtering theory. The basis for this approach is the discrete numerical scheme used in Monte-Carlo simulations of stochastic differential equations and Wiener''s associated path integral representation of the transition probability density. Furthermore, it p...
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