Book Review: Fundamentals of stochastic filtering

DOI10.1090/S0273-0979-2010-01311-2zbMath1321.00021MaRDI QIDQ2949094

Pierre Del Moral

Publication date: 7 October 2015

Published in: Bulletin of the American Mathematical Society (Search for Journal in Brave)

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Signal detection and filtering (aspects of stochastic processes) (60G35) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) External book reviews (00A17)

Cites Work

• Concentration inequalities for mean field particle models
• On a robust version of the integral representation formula of nonlinear filtering
• On the Control of an Interacting Particle Estimation of Schrödinger Ground States
• A backward particle interpretation of Feynman-Kac formulae
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