Optimal Filtering

This book considers methods of optimal signal processing. The generalised filtering theory presented includes both highly developed, now classical branches like the Wiener-Kolmogorov and Kalman-Bucy theories, as well as relatively new branches such as semidegenerate processes and minimax filtering. The unique two-level approach to filtering problems is applied depending on their complexity. Starting with the conventional notions of filtering theory, in terms of difference-differential models, the research proceeds to notions and constructions of functional analysis convenient for analysing linear filtering problems. Many novel results on filtering theory are also introduced.
Audience: This volume will be of interest to experts in the design of signal processing and theorists in functional analysis, probability theory, and mathematical physics.