An Introduction to Stochastic Filtering Theory

November 27, 2008

An Introduction to Stochastic Filtering Theory

Author: Jie Xiong

Edition: First

Publisher: Oxford University Press

Pages: 288

Price: £45.00

ISBN 9780199219704

Using probability tools to estimate unobservable stochastic processes that arise in fields such as target-tracking and mathematical finance, stochastic filtering theory is developing rapidly. This introduces the basics of the theory before covering key recent advances.

Who is it for? Graduate-level researchers with an interest in a rigorous account of stochastic filtering, and who have previous familiarity with stochastic analysis.

Presentation: Although comprehensive, the pace is quick and familiarity with basic stochastic concepts would help.

Would you recommend it? It is a timely account of the field suitable for serious researchers in stochastic analysis as opposed to the practising City quant (if there are any left).

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