Mathematics of Kalman-Bucy Filtering (Springer Series in Information Sciences)

Soong, Tsu T.,Ruymgaart, P.A.

ISBN 10: 3540135081 / ISBN 13: 9783540135081

Published by Springer, 1985

About this Item

Ex-library copy, with the usual markings/stickers/stamping present. Well kept & very clean ex-library copy with only minimal/minor wear or signs of handling! Text/pictures are unmarked, crisp & clean pages. Binding is firm and square.

Seller Inventory # mon0004208908

Bibliographic Details

• Title: Mathematics of Kalman-Bucy Filtering (Springer Series in Information Sciences)
• Publisher: Springer
• Publication Date: 1985
• Language: English
• ISBN 10: 3540135081
• ISBN 13: 9783540135081
• Binding: Hardcover
• Condition: Good

About this title

Synopsis

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.