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Filtering for Stochastic Processes with Applications to Guidance
Richard S. Bucy and Peter D. Joseph

AMS Chelsea Publishing
1987; 217 pp; hardcover
Volume: 326
Reprint/Revision History:
reprinted 2005
ISBN-10: 0-8218-3782-6
ISBN-13: 978-0-8218-3782-5
List Price: US$39
Member Price: US$35.10
Order Code: CHEL/326.H
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This second edition preserves the original text of 1968, with clarification and added references.

From the Preface to the Second Edition: "Since the First Edition of this book, numerous important results have appeared--in particular stochastic integrals with respect to martingales, random fields, Riccati equation theory and realization of nonlinear filters, to name a few. In Appendix D, an attempt is made to provide some of the references that the authors have found useful and to comment on the relation of the cited references to the field ... [W]e hope that this new edition will have the effect of hastening the day when the nonlinear filter will enjoy the same popularity in applications as the linear filter does now."

Table of Contents

Part I. Theory
  • Ordinary differential equations and stability
  • Random processes and stochastic models
  • Observability and controllability
  • Filtering theory
  • Global theory of filtering
  • Stochastic stability
  • Optimal filtering for correlated noise processes
  • Approximate optimal non-linear filtering
  • Optimum filtering for discrete time random processes
  • Stochastic control
  • Open questions and historical comments
Part II. Applications
  • Application to navigation
  • Applications of filter theory and modeling techniques
  • Free flight and powered flight navigation
  • Error analyses and sub-optimal modeling
  • Errors in the filtering process
  • Appendix A. Least squares curve fitting
  • Appendix B. Probability review
  • References
  • Appendix C. The Riccati equation and its bounds
  • Appendix D. Further references
  • Index
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