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Author : Oleg V. Makhnin
Publisher :
ISBN 13 :
Total Pages : 130 pages
Book Rating : 4.3/5 (129 download)
Download or read book Filtering for Some Stochastic Processes with Discrete Observations written by Oleg V. Makhnin and published by . This book was released on 2002 with total page 130 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Alan Bain
Publisher : Springer Science & Business Media
ISBN 13 : 0387768963
Total Pages : 395 pages
Book Rating : 4.3/5 (877 download)
Download or read book Fundamentals of Stochastic Filtering written by Alan Bain and published by Springer Science & Business Media. This book was released on 2008-10-08 with total page 395 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : Andrew H. Jazwinski
Publisher : Courier Corporation
ISBN 13 : 0486318192
Total Pages : 404 pages
Book Rating : 4.4/5 (863 download)
Download or read book Stochastic Processes and Filtering Theory written by Andrew H. Jazwinski and published by Courier Corporation. This book was released on 2013-04-15 with total page 404 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : Richard S. Bucy
Publisher : American Mathematical Soc.
ISBN 13 : 9780821837825
Total Pages : 240 pages
Book Rating : 4.8/5 (378 download)
Download or read book Filtering for Stochastic Processes with Applications to Guidance written by Richard S. Bucy and published by American Mathematical Soc.. This book was released on 2005 with total page 240 pages. Available in PDF, EPUB and Kindle. Book excerpt: This second edition preserves the original text of 1968, with clarification and added references. From the Preface to the Second Edition: ``Since the First Edition of this book, numerous important results have appeared--in particular stochastic integrals with respect to martingales, random fields, Riccati equation theory and realization of nonlinear filters, to name a few. In Appendix D, an attempt is made to provide some of the references that the authors have found useful and tocomment on the relation of the cited references to the field ... [W]e hope that this new edition will have the effect of hastening the day when the nonlinear filter will enjoy the same popularity in applications as the linear filter does now.''
Author : Vikram Krishnamurthy
Publisher : Cambridge University Press
ISBN 13 : 1107134609
Total Pages : 491 pages
Book Rating : 4.1/5 (71 download)
Download or read book Partially Observed Markov Decision Processes written by Vikram Krishnamurthy and published by Cambridge University Press. This book was released on 2016-03-21 with total page 491 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book covers formulation, algorithms, and structural results of partially observed Markov decision processes, whilst linking theory to real-world applications in controlled sensing. Computations are kept to a minimum, enabling students and researchers in engineering, operations research, and economics to understand the methods and determine the structure of their optimal solution.
Author : Samuel N Cohen
Publisher : World Scientific
ISBN 13 : 9814483915
Total Pages : 605 pages
Book Rating : 4.8/5 (144 download)
Download or read book Stochastic Processes, Finance And Control: A Festschrift In Honor Of Robert J Elliott written by Samuel N Cohen and published by World Scientific. This book was released on 2012-08-10 with total page 605 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book consists of a series of new, peer-reviewed papers in stochastic processes, analysis, filtering and control, with particular emphasis on mathematical finance, actuarial science and engineering. Paper contributors include colleagues, collaborators and former students of Robert Elliott, many of whom are world-leading experts and have made fundamental and significant contributions to these areas.This book provides new important insights and results by eminent researchers in the considered areas, which will be of interest to researchers and practitioners. The topics considered will be diverse in applications, and will provide contemporary approaches to the problems considered. The areas considered are rapidly evolving. This volume will contribute to their development, and present the current state-of-the-art stochastic processes, analysis, filtering and control.Contributing authors include: H Albrecher, T Bielecki, F Dufour, M Jeanblanc, I Karatzas, H-H Kuo, A Melnikov, E Platen, G Yin, Q Zhang, C Chiarella, W Fleming, D Madan, R Mamon, J Yan, V Krishnamurthy.
Author : Volker Roth
Publisher : Springer
ISBN 13 : 3319667092
Total Pages : 428 pages
Book Rating : 4.3/5 (196 download)
Download or read book Pattern Recognition written by Volker Roth and published by Springer. This book was released on 2017-09-06 with total page 428 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes the refereed proceedings of the 39th German Conference on Pattern Recognition, GCPR 2017, held in Basel, Switzerland, in September 2017.The 33 revised full papers presented were carefully reviewed and selected from 60 submissions. The papers are organized in topical sections on biomedical image processing and analysis; classification and detection; computational photography; image and video processing; machine learning and pattern recognition; mathematical foundations, statistical data analysis and models; motion and segmentation; pose, face and gesture; reconstruction and depth; and tracking.
Author : Peter A. Ruymgaart
Publisher : Springer Science & Business Media
ISBN 13 : 3642733417
Total Pages : 182 pages
Book Rating : 4.6/5 (427 download)
Download or read book Mathematics of Kalman-Bucy Filtering written by Peter A. Ruymgaart and published by Springer Science & Business Media. This book was released on 2013-03-08 with total page 182 pages. Available in PDF, EPUB and Kindle. Book excerpt: The second edition has not deviated significantly from the first. The printing of this edition, however, has allowed us to make a number of corrections which escaped our scrutiny at the time of the first printing, and to generally improve and tighten our presentation of the material. Many of these changes were suggested to us by colleagues and readers and their kindness in doing so is greatly appreciated. Delft, The Netherlands and P. A. Ruymgaart Buffalo, New York, December, 1987 T. T. Soong Preface to the First Edition Since their introduction in the mid 1950s, the filtering techniques developed by Kalman, and by Kalman and Bucy have been widely known and widely used in all areas of applied sciences. Starting with applications in aerospace engineering, their impact has been felt not only in all areas of engineering but as all also in the social sciences, biological sciences, medical sciences, as well other physical sciences. Despite all the good that has come out of this devel opment, however, there have been misuses because the theory has been used mainly as a tool or a procedure by many applied workers without fully understanding its underlying mathematical workings. This book addresses a mathematical approach to Kalman-Bucy filtering and is an outgrowth of lectures given at our institutions since 1971 in a sequence of courses devoted to Kalman-Bucy filters.
Author : Andrey Popoff
Publisher : CRC Press
ISBN 13 : 1000572005
Total Pages : 839 pages
Book Rating : 4.0/5 (5 download)
Download or read book Fundamentals of Signal Processing in Generalized Metric Spaces written by Andrey Popoff and published by CRC Press. This book was released on 2022-04-19 with total page 839 pages. Available in PDF, EPUB and Kindle. Book excerpt: Exploring the interrelations between generalized metric spaces, lattice-ordered groups, and order statistics, the book contains a new algebraic approach to Signal Processing Theory. It describes mathematical concepts and results important in the development, analysis, and optimization of signal processing algorithms intended for various applications. The book offers a solution of large-scale Signal Processing Theory problems of increasing both signal processing efficiency under prior uncertainty conditions and signal processing rate that is provided by multiplication-free signal processing algorithms based on lattice-ordered group operations. From simple basic relationships to computer simulation, the text covers a wide range of new mathematical techniques essential for understanding the proposed signal processing algorithms developed for solving the following problems: signal parameter and spectral estimation, signal filtering, detection, classification, and resolution; array signal processing; demultiplexing and demodulation in multi-channel communication systems and multi-station networks; wavelet analysis of 1D/ 2D signals. Along with discussing mathematical aspects, each chapter presents examples illustrating operation of signal processing algorithms developed for various applications. The book helps readers understand relations between known classic and obtained results as well as recent research trends in Signal Processing Theory and its applications, providing all necessary mathematical background concerning lattice-ordered groups to prepare readers for independent work in the marked directions including more advanced research and development.
Author : Erik Lindström
Publisher : CRC Press
ISBN 13 : 1315360217
Total Pages : 354 pages
Book Rating : 4.3/5 (153 download)
Download or read book Statistics for Finance written by Erik Lindström and published by CRC Press. This book was released on 2018-09-03 with total page 354 pages. Available in PDF, EPUB and Kindle. Book excerpt: Statistics for Finance develops students’ professional skills in statistics with applications in finance. Developed from the authors’ courses at the Technical University of Denmark and Lund University, the text bridges the gap between classical, rigorous treatments of financial mathematics that rarely connect concepts to data and books on econometrics and time series analysis that do not cover specific problems related to option valuation. The book discusses applications of financial derivatives pertaining to risk assessment and elimination. The authors cover various statistical and mathematical techniques, including linear and nonlinear time series analysis, stochastic calculus models, stochastic differential equations, Itō’s formula, the Black–Scholes model, the generalized method-of-moments, and the Kalman filter. They explain how these tools are used to price financial derivatives, identify interest rate models, value bonds, estimate parameters, and much more. This textbook will help students understand and manage empirical research in financial engineering. It includes examples of how the statistical tools can be used to improve value-at-risk calculations and other issues. In addition, end-of-chapter exercises develop students’ financial reasoning skills.
Author : Georg Lindgren
Publisher : CRC Press
ISBN 13 : 1466586192
Total Pages : 316 pages
Book Rating : 4.4/5 (665 download)
Download or read book Stationary Stochastic Processes for Scientists and Engineers written by Georg Lindgren and published by CRC Press. This book was released on 2013-10-11 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt: Suitable for a one-semester course, this text teaches students how to use stochastic processes efficiently. Carefully balancing mathematical rigor and ease of exposition, the book provides students with a sufficient understanding of the theory and a practical appreciation of how it is used in real-life situations. Special emphasis is on the interpretation of various statistical models and concepts as well as the types of questions statistical analysis can answer. To enable hands-on practice, MATLAB code is available online.
Author : N.K. Sinha
Publisher : Elsevier
ISBN 13 : 1483298078
Total Pages : 533 pages
Book Rating : 4.4/5 (832 download)
Download or read book Stochastic Control written by N.K. Sinha and published by Elsevier. This book was released on 2014-05-23 with total page 533 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic control, the control of random processes, has become increasingly more important to the systems analyst and engineer. The Second IFAC Symposium on Stochastic Control represents current thinking on all aspects of stochastic control, both theoretical and practical, and as such represents a further advance in the understanding of such systems.
Author : Rajiv J. Kapadia
Publisher : John Wiley & Sons
ISBN 13 : 3527411488
Total Pages : 375 pages
Book Rating : 4.5/5 (274 download)
Download or read book Digital Filters written by Rajiv J. Kapadia and published by John Wiley & Sons. This book was released on 2012-05-29 with total page 375 pages. Available in PDF, EPUB and Kindle. Book excerpt: A presentation of the various methods used by engineers to separate signals from noise. As this is mostly done by using a suitable filter, this book focuses on the understanding and design of the different types of such filters, whether discrete or linear, deterministic or stochastic. While written with the practitioner in mind, the text equally serves as a textbook for a graduate course, with around 200 problems and projects available online.
Author : Jiro Akahori
Publisher : World Scientific
ISBN 13 : 9812770445
Total Pages : 309 pages
Book Rating : 4.8/5 (127 download)
Download or read book Stochastic Processes and Applications to Mathematical Finance written by Jiro Akahori and published by World Scientific. This book was released on 2007 with total page 309 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains the contributions to a conference that is among the most important meetings in financial mathematics. Serving as a bridge between probabilists in Japan (called the Ito School and known for its highly sophisticated mathematics) and mathematical finance and financial engineering, the conference elicits the very highest quality papers in the field of financial mathematics.
Author : Jiro Akahori
Publisher : World Scientific
ISBN 13 : 9814476374
Total Pages : 309 pages
Book Rating : 4.8/5 (144 download)
Download or read book Stochastic Processes And Applications To Mathematical Finance - Proceedings Of The 6th Ritsumeikan International Conference written by Jiro Akahori and published by World Scientific. This book was released on 2007-04-04 with total page 309 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains the contributions to a conference that is among the most important meetings in financial mathematics. Serving as a bridge between probabilists in Japan (called the Ito School and known for its highly sophisticated mathematics) and mathematical finance and financial engineering, the conference elicits the very highest quality papers in the field of financial mathematics.
Author : Robert J Elliott
Publisher : Springer Science & Business Media
ISBN 13 : 0387848541
Total Pages : 374 pages
Book Rating : 4.3/5 (878 download)
Download or read book Hidden Markov Models written by Robert J Elliott and published by Springer Science & Business Media. This book was released on 2008-09-27 with total page 374 pages. Available in PDF, EPUB and Kindle. Book excerpt: As more applications are found, interest in Hidden Markov Models continues to grow. Following comments and feedback from colleagues, students and other working with Hidden Markov Models the corrected 3rd printing of this volume contains clarifications, improvements and some new material, including results on smoothing for linear Gaussian dynamics. In Chapter 2 the derivation of the basic filters related to the Markov chain are each presented explicitly, rather than as special cases of one general filter. Furthermore, equations for smoothed estimates are given. The dynamics for the Kalman filter are derived as special cases of the authors’ general results and new expressions for a Kalman smoother are given. The Chapters on the control of Hidden Markov Chains are expanded and clarified. The revised Chapter 4 includes state estimation for discrete time Markov processes and Chapter 12 has a new section on robust control.
Author : M. Costantino
Publisher : WIT Press
ISBN 13 : 1845641744
Total Pages : 449 pages
Book Rating : 4.8/5 (456 download)
Download or read book Computational Finance and Its Applications II written by M. Costantino and published by WIT Press. This book was released on 2006 with total page 449 pages. Available in PDF, EPUB and Kindle. Book excerpt: Featuring papers from the Second International Conference on Computational Finance and its Applications, the text includes papers that encompass a wide range of topics such as risk management, derivatives pricing, credit risk, trading strategies, portfolio management and asset allocation, and market analysis.
