Stochastic Modeling

Download An Introduction to Stochastic Filtering Theory by Jie Xiong PDF

By Jie Xiong

Stochastic Filtering Theory makes use of likelihood instruments to estimate unobservable stochastic procedures that come up in lots of utilized fields together with conversation, target-tracking, and mathematical finance. As a subject, Stochastic Filtering thought has improved quickly in recent times. for instance, the (branching) particle method illustration of the optimum clear out has been largely studied to hunt greater numerical approximations of the optimum filter out; the steadiness of the clear out with "incorrect" preliminary nation, in addition to the long term habit of the optimum filter out, has attracted the eye of many researchers; and even supposing nonetheless in its infancy, the research of singular filtering versions has yielded interesting effects. during this textual content, Jie Xiong introduces the reader to the fundamentals of Stochastic Filtering idea earlier than overlaying those key contemporary advances. The textual content is written in a mode compatible for graduates in arithmetic and engineering with a heritage in uncomplicated likelihood.

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Additional resources for An Introduction to Stochastic Filtering Theory

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The quadruple ( , F , P, Ft ) is called a stochastic basis. 1 Martingales Let Xt be a real-valued stochastic process such that E|Xt | < ∞, ∀ t ∈ T. s. 1) It is a supermartingale (resp. 1) is replaced by inequality: E(Xt |Fs ) ≤ Xs , (resp. s. We consider the discrete case first. Let T = N and let Xn be a discrete-time stochastic process. e. fn is Fn−1 -measurable). We define a transformation n (f · X)n = f0 X0 + fk (Xk − Xk−1 ). k=1 16 2 : Brownian motion and martingales Note that this transformation is the counterpart in the discrete case of the stochastic integral that will be introduced in Chapter 3.

2). The case for supermartingales can be proved similarly. Next, we give some estimates on the probabilities related to submartingales. The corollary of these estimates will be very important throughout this book. 5 (Doob’s inequality) Let {Xn }n∈N be a submartingale. Then for every λ > 0 and N ∈ N, λP max Xn ≥ λ ≤ E XN 1maxn≤N Xn ≥λ ≤ E(|XN |), n≤N and λP min Xn ≤ −λ ≤ E(|X0 | + |XN |). n≤N Proof Let σ = min{n ≤ N : Xn ≥ λ} with the convention that inf ∅ = N. Then σ ∈ SN . 2), we have E(XN ) ≥ E(Xσ ) = E Xσ 1maxn≤N Xn ≥λ + E XN 1maxn≤N Xn <λ ≥ λP max Xn ≥ λ + E XN 1maxn≤N Xn <λ .

This implies that σ (G ) ⊂ P , where σ (G ) is the σ -field generated by G . On the other hand, for each X ∈ L, we define n2 Xtn (ω) = X0 (ω)1{0} (t) + Xj/n (ω)1(jn−1 ,( j+1)n−1 ] (t). j=0 It is clear that X n is σ (G )-measurable and Xtn (ω) → Xt (ω) for each t ≥ 0 and ω ∈ . Hence, X is σ (G )-measurable. This implies that P ⊂ σ (G ). Therefore, P = σ (G ). 2 Stochastic integral Denote by L0 the collection of all simple predictable processes ft of the form n−1 ft (ω) = fj (ω)1(tj ,tj+1 ] (t), j=1 where 0 ≤ t0 < · · · < tn , fj is a bounded Ftj -measurable random variable.

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