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Book Review
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Book Information
Author(s):
G. Kallianpur
Title:
Stochastic filtering theory
Additional book information:
Springer-Verlag, New York, Heidelberg, Berlin, 1980, xvi + 316 pp.,$29.80
References:
- 1.
- D. F. Allinger and S. K. Mitter, New results on the innovations problem for non-linear filtering, Stochastics 4 (1981), 339-348. MR 609692
- 2.
- V. E. Benes, Exact finite dimensional filters for certain diffusions with nonlinear drift, Stochastics 4 (1981). MR 643062
- 3.
- R. W. Brockett, The representation of Lie algebras and estimation theory, Proc. 19th IEEE Conf. on Decision and Control (Dec. 1980).
- 4.
- M. H. A. Davis, Pathwise nonlinear filtering, Stochastic Systems: The Mathematics of Filtering and Identification and Applications, (M. Hazewinkel and J. C. Williams, eds. ) NATO Advanced Study Institute Series, Reidel, Dordrecht, 1980.
- 5.
- M. H. A. Davis and S. I. Marcus, An introduction to nonlinear filtering, ibid.
- 6.
- M. Fujisaki, G. Kallianpur, and H. Kunita, Stochastic differential equations for the nonlinear filtering problem, Osaka J. Math. 9 (1972), 19-40. MR 336801
- 7.
- A. Gelb (ed.), Applied optimal estimation, MIT Press, Cambridge, Mass., 1974. MR 345688
- 8.
- K. Itô, Multiple Wiener integrals, J. Math. Soc. Japan 3 (1951), 157-169. MR 44064
- 9.
- R. E. Kalman, A new approach to linear filtering and prediction problems, ASME Transactions Part D J. Basic Engrg. 82 (1960), 35-45.
- 10.
- R. E. Kalman and R. S. Bucy, New results in linear filtering and prediction theory, ASME Transactions Part D J. Basic Engrg. (1961), 95-108. MR 234760
- 11.
- R. Sh. Liptser and A. N. Shiryayev, Statistics of random processes (2 vols. ), Springer-Verlag, New York, 1977. MR 474486
- 12.
- P. A. Meyer, Probability and potentials, Blaisdell, Waltham, Mass., 1966. MR 205288
Additional Information:
Reviewer(s):
Wendell H.
Fleming
Review Information:
Journal:
Bull. Amer. Math. Soc.
7
(1982),
411-414.
DOI:
10.1090/S0273-0979-1982-15051-0
PII:
S 0273-0979(1982)15051-0
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