The Resource The Oxford handbook of nonlinear filtering, edited by Dan Crisan, Boris Rozovskii

The Oxford handbook of nonlinear filtering, edited by Dan Crisan, Boris Rozovskii

Label
The Oxford handbook of nonlinear filtering
Title
The Oxford handbook of nonlinear filtering
Statement of responsibility
edited by Dan Crisan, Boris Rozovskii
Contributor
Subject
Language
eng
Cataloging source
DLC
Index
index present
LC call number
QA274.23
LC item number
.O94 2011
Literary form
non fiction
http://library.link/vocab/relatedWorkOrContributorName
  • Crisan, Dan
  • Rozovskiĭ, B. L.
http://library.link/vocab/subjectName
  • Stochastic differential equations
  • Nonlinear theories
  • Filters (Mathematics)
  • Filters (Mathematics)
  • Nonlinear theories
  • Stochastic differential equations
  • Filtres numériques (mathématiques)
  • Théories non linéaires
  • Filterung
  • Nichtlineare Filterung
  • Stochastische Differentialgleichung
Label
The Oxford handbook of nonlinear filtering, edited by Dan Crisan, Boris Rozovskii
Instantiates
Publication
Note
Includes index
Bibliography note
Includes bibliographical references and index
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Introduction / D. Crisan and B. Rozovskiĭ -- Nonlinear filtering problems I: Bayes formulas and innovations / H. Kunita -- Nonlinear filtering problems II: associated equations / H. Kunita -- Nonlinear filtering equations for stochastic processes with jumps / B. Grigelionis and R. Mikulevicius -- The filtered martingale problem / T.G. Kurtz and G. Nappo -- Filtering equations for partially observable diffusion processes with Lipschitz continuous coefficients / N.V. Krylov -- Malliavin calculus applications to the study of nonlinear filtering / M. Chaleyat-Maurel -- Chaos approach to nonlinear filtering / S.V. Lototsky -- On filtering with unspecified initial data for nonuniformly ergodic signals / M.L. Kleptsyna and A. Yu. Veretennikov -- Exponential decay rate of the filter's dependence on the initial distribution / R. Atar -- Intrinsic methods in filter stability / P. Chigansky, R. Liptser, and R. Van Handel -- Feller and stability properties of the nonlinear filter / A. Budhiraja -- Stability of the optimal filter for nonergodic signals--a variational approach / W. Stannat -- Pathwise nonlinear filtering with correlated noise / M.H.A. Davis -- The innovations problem / A.J. Heunis -- Nonlinear filtering and fractional Brownian motion / T.E. Duncan -- Dual filters, path estimators, and information / N.J. Newton -- Filtering for discrete-time Markov processes and applications to inventory control with incomplete information / A. Bensoussan, M. Çakanyıldırım, and S.P. Sethi -- Bayesian filtering of stochastic hybrid systems in discrete-time and interacting multiple model / H.A.P. Bloom and Y. Bar-Shalom -- Error bounds for the nonlinear filtering of diffusion processes / O. Zeitouni -- Discretizing the continuous-time filtering problems: order of convergence / D. Crisan -- Large sample asymptotics for the ensemble Kalman filter / F. Le Gland, V. Monbet, and V.-D. Tran -- Particle approximations to the filtering problem in continuous time / J. Xiong -- A tutorial on particle filtering and smoothing: fifteen years later / A. Doucet and A.M. Johansen -- A mean field theory of nonlinear filtering / P. Del Moral, F. Patras, and S. Rubenthaler -- The particle filter in practice / T.B. Schön, F. Gustafsson, and R. Karlsson -- Introducing cubature to filtering / C. Litterer and T. Lyons -- Numerical approximations to optimal nonlinear filters / H.J. Kushner -- Signal processing problems on function space: Bayesian formulation, stochastic PDEs and effective MCMC methods / M. Hairer, A. Stuart, and J. Voss -- Robust, computationally efficient algorithms for tracking problems with measurement process nonlinearities / J.M.C. Clark and R.B. Vinter -- Nonlinear filtering algorithms based on averaging over characteristics and on the innovation approach / G.N. Milstein and M.V. Tretyakov -- Nonlinear filtering in models for interest-rate and credit risk / R. Frey and W. Runggaldier -- An asset pricing model with mean reversion and regime switching stochastic volatility / R.J. Elliot, H. Miao, and Z. Wu --Portfolio optimization under partial observation: theoretical and numerical aspects / H. Pham -- Filtering with counting process observations: application to the statistical analysis of the micromovement of asset price / L.C. Scott and Y. Zeng
Dimensions
26 cm
Extent
xiv, 1063 pages
Isbn
9780199532902
Lccn
2010044094
Media category
unmediated
Media MARC source
rdamedia
Media type code
  • n
System control number
  • (OCoLC)682145181
  • (OCoLC)ocn682145181
Label
The Oxford handbook of nonlinear filtering, edited by Dan Crisan, Boris Rozovskii
Publication
Note
Includes index
Bibliography note
Includes bibliographical references and index
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Introduction / D. Crisan and B. Rozovskiĭ -- Nonlinear filtering problems I: Bayes formulas and innovations / H. Kunita -- Nonlinear filtering problems II: associated equations / H. Kunita -- Nonlinear filtering equations for stochastic processes with jumps / B. Grigelionis and R. Mikulevicius -- The filtered martingale problem / T.G. Kurtz and G. Nappo -- Filtering equations for partially observable diffusion processes with Lipschitz continuous coefficients / N.V. Krylov -- Malliavin calculus applications to the study of nonlinear filtering / M. Chaleyat-Maurel -- Chaos approach to nonlinear filtering / S.V. Lototsky -- On filtering with unspecified initial data for nonuniformly ergodic signals / M.L. Kleptsyna and A. Yu. Veretennikov -- Exponential decay rate of the filter's dependence on the initial distribution / R. Atar -- Intrinsic methods in filter stability / P. Chigansky, R. Liptser, and R. Van Handel -- Feller and stability properties of the nonlinear filter / A. Budhiraja -- Stability of the optimal filter for nonergodic signals--a variational approach / W. Stannat -- Pathwise nonlinear filtering with correlated noise / M.H.A. Davis -- The innovations problem / A.J. Heunis -- Nonlinear filtering and fractional Brownian motion / T.E. Duncan -- Dual filters, path estimators, and information / N.J. Newton -- Filtering for discrete-time Markov processes and applications to inventory control with incomplete information / A. Bensoussan, M. Çakanyıldırım, and S.P. Sethi -- Bayesian filtering of stochastic hybrid systems in discrete-time and interacting multiple model / H.A.P. Bloom and Y. Bar-Shalom -- Error bounds for the nonlinear filtering of diffusion processes / O. Zeitouni -- Discretizing the continuous-time filtering problems: order of convergence / D. Crisan -- Large sample asymptotics for the ensemble Kalman filter / F. Le Gland, V. Monbet, and V.-D. Tran -- Particle approximations to the filtering problem in continuous time / J. Xiong -- A tutorial on particle filtering and smoothing: fifteen years later / A. Doucet and A.M. Johansen -- A mean field theory of nonlinear filtering / P. Del Moral, F. Patras, and S. Rubenthaler -- The particle filter in practice / T.B. Schön, F. Gustafsson, and R. Karlsson -- Introducing cubature to filtering / C. Litterer and T. Lyons -- Numerical approximations to optimal nonlinear filters / H.J. Kushner -- Signal processing problems on function space: Bayesian formulation, stochastic PDEs and effective MCMC methods / M. Hairer, A. Stuart, and J. Voss -- Robust, computationally efficient algorithms for tracking problems with measurement process nonlinearities / J.M.C. Clark and R.B. Vinter -- Nonlinear filtering algorithms based on averaging over characteristics and on the innovation approach / G.N. Milstein and M.V. Tretyakov -- Nonlinear filtering in models for interest-rate and credit risk / R. Frey and W. Runggaldier -- An asset pricing model with mean reversion and regime switching stochastic volatility / R.J. Elliot, H. Miao, and Z. Wu --Portfolio optimization under partial observation: theoretical and numerical aspects / H. Pham -- Filtering with counting process observations: application to the statistical analysis of the micromovement of asset price / L.C. Scott and Y. Zeng
Dimensions
26 cm
Extent
xiv, 1063 pages
Isbn
9780199532902
Lccn
2010044094
Media category
unmediated
Media MARC source
rdamedia
Media type code
  • n
System control number
  • (OCoLC)682145181
  • (OCoLC)ocn682145181

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