Stochastic processes and filtering theory - Jazwinski, Andrew H. (Academic Press, 1970)
This book presents a unified treatment of linear and nonlinear filtering theory for engineers, with sufficient emphasis on applications to enable the reader to use the theory. The need for this book is twofold. First, although linear estimation theory is relatively well known, it is largely scattered in the journal literature and has not been collected in a single source. Second, available literature on the continuous nonlinear theory is quite esoteric and controversial, and thus inaccessible to engineers uninitiated in measure theory and stochastic differential equations
Includes bibliographical references and indexes
Front Cover; Stochastic Processes and Filtering Theory; Copyright Page; Preface; Acknowledgments; Contents; Chapter 1 Introduction; Chapter 2 Probability Theory and Random Variables; Chapter 3 Stochastic Processes; Chapter 4 Stochastic Differential Equations; Chapter 5 Introduction to Filtering Theory; Chapter 6 Nonlinear Filtering Theory; Chapter 7 Linear Filtering Theory; Chapter 8 Applications of Linear Theory; Chapter 9 Approximate Nonlinear Filters; Author Index; Subject Index