"Written by two renowned experts in the field, the books under
review contain a thorough and insightful treatment of the
fundamental underpinnings of various aspects of stochastic
processes as well as a wide range of applications. Providing clear
exposition, deep mathematical results, and superb technical
representation, they are masterpieces of the subject of stochastic
analysis and nonlinear filtering....These books...will become
classics." --SIAM REVIEW
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