Nonlinear filtering and optimal phase tracking
 Responsibility
 Zeev Schuss.
 Language
 English.
 Imprint
 New York : Springer, c2012.
 Physical description
 xviii, 262 p. : ill. (some col.) ; 24 cm.
 Series
 Applied mathematical sciences (SpringerVerlag New York Inc.) ; v. 180.
Access
Available online
 dx.doi.org SpringerLink
Math & Statistics Library

Stacks

Unknown
QA402.35 .S38 2012

Unknown
QA402.35 .S38 2012
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Creators/Contributors
 Author/Creator
 Schuss, Zeev, 1937
Contents/Summary
 Bibliography
 Includes bibliographical references (p. 247253) and index.
 Contents

 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.
 (source: Nielsen Book Data)
 Publisher's Summary
 This book offers an analytical rather than measuretheoretical 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 MonteCarlo 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 onesemester 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 workedout examples aimed at illustrating the methods of mathematical modeling and performance analysis of phase trackers.
(source: Nielsen Book Data)
Subjects
Bibliographic information
 Publication date
 2012
 Series
 Applied mathematical sciences, 00665452 ; v. 180
 ISBN
 9781461404866
 146140486X
 9781461404873 (eISBN)
 1461404878 (eISBN)