Stochastic Processes and Filtering Theory, Paperback/Andrew H. Jazwinski - Dover Publications

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This unified treatment of linear and nonlinear Filtering Theory presents material previously available only in journals, and in terms accessible to engineering students.
Taking the state-space approach to filtering, this text models dynamical systems by finite-dimensional Markov processes, o.
Although Theory is emphasized, the text discusses numerous practical applications as well.
Its sole prerequisites are advanced calculus, the Theory of ordinary differential equations, and matrix analysis.
This unified treatment of linear and nonlinear Filtering Theory presents material previously available only in journals, and in terms accessible to engineering students