An Introduction to Stochastic Filtering Theory
Author: Jie Xiong
Publisher: Oxford University Press
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).