Verfügbarkeit: The Oxford handbook of nonlinear filtering

The Oxford handbook of nonlinear filtering:

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Bibliographische Detailangaben
Weitere Verfasser:	Crisan, Dan (HerausgeberIn)
Format:	Buch
Sprache:	English
Veröffentlicht:	Oxford [u.a.] Oxford Univ. Press 2011
Ausgabe:	1. publ.
Schlagworte:	Stochastic differential equations Nonlinear theories Filters (Mathematics) Filterung > Stochastik Stochastische Differentialgleichung
Online-Zugang:	Inhaltsverzeichnis
Beschreibung:	XIV, 1063 S. Ill., graph. Darst
ISBN:	9780199532902

Internformat

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Datensatz im Suchindex

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adam_text	Titel: The Oxford handbook of nonlinear filtering Autor: Crisan, Dan Jahr: 2011 Contents List of Contributors........................................................................................ xi 1 Introduction..................................................................................................... 1 D. Crisan and B. Rozovskii Part I The Foundations of Nonlinear Filtering 2 Nonlinear Filtering Problems I: Bayes Formulas and Innovations....... 19 H. Kunita 3 Nonlinear Filtering Problems II: Associated Equations.......................... 55 H. Kunita 4 Nonlinear Filtering Equations for Stochastic Processes with Jumps.... 95 B. Grigelionis and R. Mikulevicius 5 The Filtered Martingale Problem.............................................................. 129 T. G. Kurtz and G. Nappo Part II Nonlinear Filtering and Stochastic Partial Differential Equations 6 Filtering Equations for Partially Observable Diffusion Processes with Lipschitz Continuous Coefficients................................................... 169 N. V. Krylov 7 Malliavin Calculus Applications to the Study of Nonlinear Filtering.. 195 M. Chaleyat-Maurel 8 Chaos Approach to Nonlinear Filtering................................................... 231 S. V. Lototsky Part III Stability and Asymptotic Analysis 9 On Filtering with Unspecified Initial Data for Nonuniformly Ergodic Signals............................................................................................ 267 M. L. Kteptsyna and A. Yu. Veretennikov 10 Exponential Decay Rate of the Filter s Dependence on the Initial Distribution.................................................................................................. 299 R. Atar 11 Intrinsic Methods in Filter Stability......................................................... 319 P. Chigansky, R. Liptser, and R. Van Handel 12 Feller and Stability Properties of the Nonlinear Filter........................... 352 A. Budhiraja 13 Stability of the Optimal Filter for Nonergodic Signals-A Variational Approach...................................................................................................... 374 W. Stannat Part IV Special Topics 14 Pathwise Nonlinear Filtering with Correlated Noise............................. 403 M. H. A. Davis 15 The Innovations Problem.......................................................................... 425 A. J. Heunis 16 Nonlinear Filtering and Fractional Brownian Motion........................... 450 T. E. Duncan Part V Estimation and Control 17 Dual Filters, Path Estimators, and Information..................................... 471 N. J. Newton 18 Filtering for Discrete-Time Markov Processes and Applications to Inventory Control with Incomplete Information............................... 500 A. Bensoussan, M. Cakanyildinm, and S. P. Sethi 19 Bayesian Filtering of Stochastic Hybrid Systems in Discrete-Time and Interacting Multiple Model................................................................ 526 H. A. P. Blom and Y. Bar-Shalom Part VI Approximation Theory 20 Error Bounds for the Nonlinear Filtering of Diffusion Processes....... 561 O. Zeitouni 21 Discretizing the Continuous-Time Filtering Problem: Order of Convergence............................................................................................ 572 D. Crisan 22 Large Sample Asymptotics for the Ensemble Kalman Filter................ 598 F. Le Gland, V. Monbet, and V.-D. Tran Part VII The Particle Approach 23 Particle Approximations to the Filtering Problem in Continuous Time.............................................................................................................. 635 J. Xiong 24 A Tutorial on Particle Filtering and Smoothing: Fifteen Years Later.................................................................................................... 656 A. Doucet and A. M. Johansen 25 A Mean Field Theory of Nonlinear Filtering.......................................... 705 P. Del Moral, F. Patras, and S. Ruhenthaler 26 The Particle Filter in Practice.................................................................... 741 T. B. Schon, F. Gustafsson, and R. Karlsson 27 Introducing Cubature to Filtering............................................................ 768 C. Litterer and T. Lyons Part VIII Numerical Methods in Nonlinear Filtering 28 Numerical Approximations to Optimal Nonlinear Filters.................... 799 H. J. Kushner 29 Signal Processing Problems on Function Space: Bayesian Formulation, Stochastic PDEs and Effective MCMC Methods............ 833 M. Hairer, A. Stuart, and J. Voss 30 Robust, Computationally Efficient Algorithms for Tracking Problems with Measurement Process Nonlinearities............................ 874 J. M. C. Clark and R. B. Vinter 31 Nonlinear Filtering Algorithms Based on Averaging Over Characteristics and on the Innovation Approach................................... 892 G. N. Milstein and M. V. Tretyakov Part IX Nonlinear Filtering in Financial Mathematics 32 Nonlinear Filtering in Models for Interest-Rate and Credit Risk......... 923 R. Frey and W. Runggaldier 33 An Asset Pricing Model with Mean Reversion and Regime Switching Stochastic Volatility.................................................................. 960 R. J. Elliott, H. Miao, and Z. Wu 34 Portfolio Optimization Under Partial Observation: Theoretical and Numerical Aspects.............................................................................. 990 H. Pham 35 Filtering with Counting Process Observations: Application to the Statistical Analysis of the Micromovement of Asset Price....... 1019 I. C. Scott and Y. Zeng Index........................................................................................................... 1047
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spellingShingle	The Oxford handbook of nonlinear filtering Stochastic differential equations Nonlinear theories Filters (Mathematics) Filterung Stochastik (DE-588)4121267-8 gnd Stochastische Differentialgleichung (DE-588)4057621-8 gnd
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title	The Oxford handbook of nonlinear filtering
title_auth	The Oxford handbook of nonlinear filtering
title_exact_search	The Oxford handbook of nonlinear filtering
title_full	The Oxford handbook of nonlinear filtering ed. by Dan Crisan ...
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title_full_unstemmed	The Oxford handbook of nonlinear filtering ed. by Dan Crisan ...
title_short	The Oxford handbook of nonlinear filtering
title_sort	the oxford handbook of nonlinear filtering
topic	Stochastic differential equations Nonlinear theories Filters (Mathematics) Filterung Stochastik (DE-588)4121267-8 gnd Stochastische Differentialgleichung (DE-588)4057621-8 gnd
topic_facet	Stochastic differential equations Nonlinear theories Filters (Mathematics) Filterung Stochastik Stochastische Differentialgleichung
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