دانلود کتاب Stochastic Systems: The Mathematics of Filtering and Identification and Applications: Proceedings of the NATO Advanced Study Institute held at Les Arcs, Savoie, France, June 22 – July 5, 1980

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Front Matter....Pages i-xii
Front Matter....Pages 1-1
Introduction: An Annotated Navigation Chart and Sketch of the Main Themes in this Volume and their Interrelations....Pages 3-26
Front Matter....Pages 27-27
The LQG-Problem: A Brief Tutorial Exposition....Pages 29-44
A Tutorial Article on the Itô Integral and the Stochastic Calculus....Pages 45-51
An Introduction to Nonlinear Filtering....Pages 53-75
A Tutorial Introduction to Differentiable Manifolds and Vector Fields....Pages 77-93
A Short Tutorial on Lie Algebras....Pages 95-108
Front Matter....Pages 109-109
Mathematical Models of Chemical Reactions....Pages 111-134
Qualitative Theory of Real Noise Excited Systems....Pages 135-140
Stochastic Models of Computer Networks....Pages 141-167
State Space Models for Gaussian Stochastic Processes....Pages 169-204
Ergodic Theory of Linear Parameter-Excited Systems....Pages 205-218
Front Matter....Pages 219-219
System Identification....Pages 221-246
Recursive Identification....Pages 247-281
The Properties of the Parameterization of ARMAX Systems in Structural Specification and their Relevance for Estimation....Pages 283-289
Tests of Adequacy for Arma Models and Tests of Separated Hypotheses....Pages 291-297
Some Nonlinear Filtering Problems Arising in Recursive Identification....Pages 299-304
Front Matter....Pages 305-305
Some Topics in Linear Estimation....Pages 307-350
Inverse Scattering and Linear Prediction, the Time Continuous Case....Pages 351-382
Harmonic Analysis and the Mathematics Behind Filtering and Prediction (D’Apres Cartier D’Apres Wiener and Kolmogorov)....Pages 383-384
Front Matter....Pages 385-385
Deterministic and Stochastic Model Reference Adaptive Control....Pages 387-419
Front Matter....Pages 385-385
Adaptive Control of Systems Subject to a Class of Random Parameter Variations and Disturbances....Pages 421-432
On Stochastic Self-Tuning Methods....Pages 433-438
Front Matter....Pages 439-439
Nonlinear Systems and Nonlinear Estimation Theory....Pages 441-477
Non-Linear Filtering and Stochastic Mechanics....Pages 479-503
Pathwise Non-Linear Filtering....Pages 505-528
Non-linear Filtering, Prediction and Smoothing....Pages 529-557
Estimation Problems with Low Dimensional Filters....Pages 559-564
Group Invariance Methods in Nonlinear Filtering of Diffusion Processes....Pages 565-572
Asymptotic Bounds on the Minimal Error of Non-Linear Filtering....Pages 573-581
An Approximation to Optimal Nonlinear Filtering with Discontinuous Observations....Pages 583-590
Some Results and Speculations on the Role of Lie Algebras in Filtering....Pages 591-604
Deterministic Estimation and Asymptotic Stochastic Estimation....Pages 605-612
Non-Linear Filtering Equation and a Problem of Parametric Estimation....Pages 613-620
Regularity of Conditional Laws in Non-Linear Filtering Theory and Stochastic Calculus of Variations....Pages 621-628
Finite Dimensional Estimation Algebras in Nonlinear Filtering....Pages 629-636
Rigorous Results on the Cubic Sensor Problem....Pages 637-648
A Footnote to the Papers which Prove the Nonexistence of Finite Dimensional Filters....Pages 649-650
Back Matter....Pages 651-663