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Nonlinear Filtering and Optimal Phase Tracking

Zeev Schuss (Autor)

Buch | Hardcover

262 Seiten

2011
Springer-Verlag New York Inc.
978-1-4614-0486-6 (ISBN)

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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.

Zeev Schuss is a Professor in the School of Mathematical Sciences at Tel Aviv University.

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

Reihe/Serie	Applied Mathematical Sciences ; 180
Zusatzinfo	XVIII, 262 p.
Verlagsort	New York, NY
Sprache	englisch
Maße	155 x 235 mm
Themenwelt	Mathematik / Informatik ► Mathematik ► Analysis
	Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik
	Naturwissenschaften ► Physik / Astronomie
ISBN-10	1-4614-0486-X / 146140486X
ISBN-13	978-1-4614-0486-6 / 9781461404866
Zustand	Neuware