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Nonlinear Filtering and Optimal Phase Tracking
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Catalogue Information
Field name
Details
Dewey Class
519.22
Title
Nonlinear Filtering and Optimal Phase Tracking ([Ebook]) / by Zeev Schuss.
Author
Schuss, Zeev
Other name(s)
SpringerLink (Online service)
Publication
Boston, MA : Springer US
, 2012.
Physical Details
XVIII, 262 pages : 45 illus., 9 illus. in color. : online resource.
Series
Applied mathematical sciences
0066-5452 ; ; 180
ISBN
9781461404873
Summary Note
This book offers an analytical rather than measure-theoretical approach to the derivation of the partial differential equations of nonlinear filtering theory. The basis for this approach is the discrete numerical scheme used in Monte-Carlo simulations of stochastic differential equations and Wiener's associated path integral representation of the transition probability density. Furthermore, it presents analytical methods for constructing asymptotic approximations to their solution and for synthesizing asymptotically optimal filters. It also offers a new approach to the phase tracking problem, based on optimizing the mean time to loss of lock. The book is based on lecture notes from a one-semester special topics course on stochastic processes and their applications that the author taught many times to graduate students of mathematics, applied mathematics, physics, chemistry, computer science, electrical engineering, and other disciplines. The book contains exercises and worked-out examples aimed at illustrating the methods of mathematical modeling and performance analysis of phase trackers.:
Contents note
Diffusion and Stochastic Differential Equations -- Euler's Simulation Scheme and Wiener's Measure -- Nonlinear Filtering and Smoothing of Diffusions -- Small Noise Analysis of Zakai's Equation -- Loss of Lock in Phase Trackers -- Loss of Lock in RADAR and Synchronization -- Phase Tracking with Optimal Lock Time -- Bibliography -- Index.
System details note
Online access to this digital book is restricted to subscription institutions through IP address (only for SISSA internal users).
Internet Site
http://dx.doi.org/10.1007/978-1-4614-0487-3
Links to Related Works
Subject References:
Differential equations, Partial
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Distribution (Probability theory)
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Mathematics
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Partial differential equations
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Probability theory and stochastic processes
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Stochastic partial differential equations
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Theoretical, Mathematical and Computational Physics
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Authors:
Schuss, Zeev
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Corporate Authors:
SpringerLink (Online service)
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Series:
Applied mathematical sciences
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Classification:
519.22
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519.22 (DDC 23)
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