Product Description

The subject of these two volumes is non-linear filtering (prediction and smoothing) theory and its application to the problem of optimal estimation, control with incomplete data, information theory, and sequential testing of hypothesis. The book is not only addressed to mathematicians but should also serve the interests of other scientists who apply probabilistic and statistical methods in their work. The theory of martingales presented in the book has an independent interest in connection with problems from financial mathematics.
In the second edition, the authors have made numerous corrections, updating every chapter, adding two new subsections devoted to the Kalman filter under wrong initial conditions, as well as a new chapter devoted to asymptotically optimal filtering under diffusion approximation. Moreover, in each chapter a comment is added about the progress of recent years.

Product Details

• Amazon Sales Rank: #311967 in Books
• Published on: 2004-10-15
• Number of items: 1
• Binding: Hardcover
• 400 pages

Review

From the reviews:

JOURNAL OF THE AMERICAN STOCHASTIC ASSOCIATION

"The material is accessible to researchers and advanced graduate students. These two classic volumes are very important resources for both probabilists and statisticians."

SIAM REVIEW

"Written by two renowned experts in the field, the books under review contain a thorough and insightful treatment of the fundamental underpinnings of various aspects of stochastic processes as well as a wide range of applications. Providing clear exposition, deep mathematical results, and superb technical representation, they are masterpieces of the subject of stochastic analysis and nonlinear filteringWhat is special about these books is their broad coverage and in-depth study of optimal filtering problemsThe books can be used by researchers in different areas who need to use stochastic calculus and who treat state estimation, detection, and stochastic control problems under incomplete information and partial observationsThese two books are a comprehensive treatise on stochastic calculus, random processes, and filtering theory, and provide an excellent and illuminating introduction to these fields with a wide range of theoretical and practical issues. With the new additions and modifications of the first edition, they are to be welcomed and benefit not only the systems theory and control community but also mathematicians working on stochastic processes; engineers in control, communication, and signal processing; researchers in financial engineering; and scientists in many other related fields. It is conceivable that these books will have a significant impact on the aforementioned fields and will become classics."

SIAM REVIEW

"The first volume of the books may also be used as an advanced graduate-level textbook for a course in stochastic processes"

From the reviews of the second edition:

"This is the revised and expanded second edition of the first version in Russian of (1974) and in English (1997, 1978). The ambitious program of the authors was to give for the first time a systematic account of the stochastic calculus and the unifying power and efficiency of its methods for the study of statistics of random process. The very detailed exposition of the text will in particular appeal to the mathematically interested reader and scientist." (Metrika, July, 2002)

"For several reasons stochastic analysis has been among the scientific hits of the last few decades. The reference list is also updated with essential recently published papers and books. Thus the comprehensive content and the masterly written text make the book attractive for researchers in stochastic analysis and its applications as well as for graduate students in the area. this book will continue to be among the most useful and popular books on the subject in the decades to come." (Jordan M. Stoyanov, Zentralblatt MATH, Issue 1008, 2003)

Language Notes
Text: English (translation)
Original Language: Russian

Book Info
One of a two-volume set dealing with non-linear filtering theory and its application to the problem of optimal estimation, control with incomplete data, information theory, and sequential testing of hypotheses. This text deals purely with the theory aimed at mathematicians and others who apply these methods in their work. DLC: Stochastic processes.

Customer Reviews

A masterpiece... but full of typos
This is volume 1 of a famous masterpiece. It has an ample coverage of a very interesting and useful subject. It is very well organized, and the style is very appealing. The big problem is the incredibly large number of typos! Some are irrelevant, some others are annoying, and the rest are just dangerous, the kind that can make you question your own sanity until you realize there is a mistake. The problem is particularly vexing because it is the second edition, and the authors claim they did not change this volume very much. Then it means that the publishers did not bother to correct the typos from the first edition, a serious case of malpractice. The problem is so huge that I am returning Volume 2. (By the way, the second edition of Shiryaev's classic book on Probability suffers from the same problem, lots and lots of typos.) The editors and publishers could pay more attention to proofreading books of this sort, in which even a small typo can seriously mar the presentation of the argument. Or at least they could provide errata lists on the Web.

the book, give me a clear idea of sthocastics random process
I'm interesting in this book, becouse i need it to make a homework.