Nonlinear Filtering And Smoothing An Introduction To Martingales, Stochastic Integrals And Estimation

Appropriate for upper-level undergraduates and graduate students, this volume addresses the fundamental concepts of martingales, stochastic integrals, and estimation. Written by an engineer for engineers, it emphasizes applications. Many theorems feature heuristic proofs; others include rigorous proofs to reinforce physical understanding. Numerous end-of-chapter problems enhance the book's practical value. 1984 ed.Krishnan, Venkatarama is the author of 'Nonlinear Filtering And Smoothing An Introduction To Martingales, Stochastic Integrals And Estimation', published 2005 under ISBN 9780486441641 and ISBN 0486441644.