| Mathematics of Kalman-Bucy Filtering (Springer Series in Information Sciences) |  | Authors: P. A. Ruymgaart, T. T. Soong
Publisher: Springer
Category: Book
List Price: $71.95
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Sales Rank: 3561271
Media: Hardcover
Edition: 2 Sub
Number Of Items: 1
Pages: 170
Shipping Weight (lbs): 0.7
Dimensions (in): 9.3 x 6.3 x 0.5
ISBN: 0387187812
Dewey Decimal Number: 519.2
EAN: 9780387187815
ASIN: 0387187812
Publication Date: May 1988
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Condition: A good papernack of the 1988 Springer-Verlag 2nd edition. Text is in English. Ex-library: small abrasions from removed institutional labels to tail of spine; blackened-out institutional ink-stamp to outer edge of text block (text itself is unaffected); small institutional ink-stamp and/or label to half-title page, title-page, and back page. No further marks to text. ISBN 0-387-18781-2. Ready to ship.
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Product Description
This book addresses the mathematics of Kalman-Bucy filtering and is designed for readers who are well versed in the practice of Kalman-Bucy filters but are interested in the mathematics on which they are based. The main topic in this book is the continuous-time Kalman-Bucy filter. Although the discrete-time Kalman filter results were obtained first, the continuous-time results are important when dealing with systems developing in time continuously; they are thus more appropriately modeled by differential equations than by difference equations. Confining attention to the Kalman-Bucy filter, the mathematics needed consists mainly of operations in Hilbert spaces. A relatively complete treatment of mean square calculus is given, leading to a discussion of the Wiener-Levy process. This is followed by a treatment of the stochastic differential equations central to the modeling of the Kalman-Bucy filtering process. The mathematical theory of the Kalman-Bucy filter is then introduced , and with the aid of a theorem of Liptser and Shiryayev, new light is shed on the dependence of the Kalman-Bucy estimator on observation noise.
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