An Introduction to Stochastic Filtering Theory

• An up-to-date reference on a topical subject
• The author is a well-regarded researcher in the field
• Each chapter on filtering contains a historical note
• Methods introduced can be applied to more general stochastic partial differential equations

Readership: Graduates and researchers in applied mathematics, engineering and mathematical finance.

Jie Xiong, Department of Mathematics, University of Tennesse

"It is a timely account of the field suitable for serious researchers in stochastic analysis." - Time Higher Education Supplement

Preface
1: Introduction
2: Brownian motion and martingales
3: Stochastic integrals and Itô's formula
4: Stochastic differential equations
5: Filtering model and Kallianpur-Striebel formula
6: Uniqueness of the solution for Zakai's equation
7: Uniqueness of the solution for the filtering equation
8: Numerical methods
9: Linear filtering
10: Stability of nonlinear filtering
11: Singular filtering
Bibliography
Index