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The Geometry of Filtering
Elworthy, K. David; Lejan, Yves; Li, Xue-Mei
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Description for The Geometry of Filtering
Paperback. The geometry used in this book is that determined by a map of one space N onto another, M, mapping a diffusion process, or operator, on N to one on M. That geometry is considered in situations of geometric, stochastic analytic or filtering interest. Series: Frontiers in Mathematics. Num Pages: 180 pages, biography. BIC Classification: PBKS; PBMP; PBT. Category: (P) Professional & Vocational. Dimension: 243 x 171 x 11. Weight in Grams: 318.
Filtering is the science of nding the law of a process given a partial observation of it. The main objects we study here are di usion processes. These are naturally associated with second-order linear di erential operators which are semi-elliptic and so introduce a possibly degenerate Riemannian structure on the state space. In fact, much of what we discuss is simply about two such operators intertwined by a smooth map, the \projection from the state space to the observations space", and does not involve any stochastic analysis. From the point of view of stochastic processes, our purpose is to present ... Read more
Filtering is the science of nding the law of a process given a partial observation of it. The main objects we study here are di usion processes. These are naturally associated with second-order linear di erential operators which are semi-elliptic and so introduce a possibly degenerate Riemannian structure on the state space. In fact, much of what we discuss is simply about two such operators intertwined by a smooth map, the \projection from the state space to the observations space", and does not involve any stochastic analysis. From the point of view of stochastic processes, our purpose is to present ... Read more
Product Details
Format
Paperback
Publication date
2010
Publisher
Birkhauser Verlag AG Switzerland
Condition
New
Series
Frontiers in Mathematics
Number of Pages
169
Place of Publication
Basel, Switzerland
ISBN
9783034601757
SKU
V9783034601757
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
Reviews for The Geometry of Filtering
From the reviews: “The book provides a unified treatment of geometric structures related to filtering and extends in particular the earlier lecture notes of the authors … . The methods described are of essential interest for any researcher in the field of random dynamical systems and stochastic differential equations.” (Anton Thalmaier, Mathematical Reviews, Issue 2012 e)