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.
General
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