• Alan Bain
  • Dan Crisan
Part of the Stochastic Modelling and Applied Probability book series (SMAP, volume 60)


The development of mathematics since the 1950s has gone through many radical changes both in scope and in depth. Practical applications are being found for an increasing number of theoretical results and practical problems have also stimulated the development of theory. In the case of stochastic filtering, it is not clear whether this first arose as an application found for general theory, or as the solution of a practical problem.


Observation Process Innovation Approach Continuous Time Process Discrete Time Process Sequential Monte Carlo Method 
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Copyright information

© Springer Science+Business Media, LLC 2009

Authors and Affiliations

  • Alan Bain
    • 1
  • Dan Crisan
    • 2
  1. 1.BNP Paribas 10 Harewood AvLondonUnited Kingdom
  2. 2.Department of MathematicsImperial College London 180 Queen’s GateLondonUnited Kingdom

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