Stochastic processes and filtering theory. Jazwinski, A. H Academic Press, New York, 1970. OCLC: 466443742
Stochastic processes and filtering theory [link]Paper  abstract   bibtex   
This book presents a unified treatment of linear and nonlinear filtering theory for engineers, with sufficient emphasis on applications to enable the reader to use the theory. The need for this book is twofold. First, although linear estimation theory is relatively well known, it is largely scattered in the journal literature and has not been collected in a single source. Second, available literature on the continuous nonlinear theory is quite esoteric and controversial, and thus inaccessible to engineers uninitiated in measure theory and stochastic differential equations.
@book{jazwinski_stochastic_1970,
	address = {New York},
	title = {Stochastic processes and filtering theory},
	isbn = {978-0-08-096090-6},
	url = {http://www.123library.org/book_details/?id=46109},
	abstract = {This book presents a unified treatment of linear and nonlinear filtering theory for engineers, with sufficient emphasis on applications to enable the reader to use the theory. The need for this book is twofold. First, although linear estimation theory is relatively well known, it is largely scattered in the journal literature and has not been collected in a single source. Second, available literature on the continuous nonlinear theory is quite esoteric and controversial, and thus inaccessible to engineers uninitiated in measure theory and stochastic differential equations.},
	language = {English},
	urldate = {2017-05-08},
	publisher = {Academic Press},
	author = {Jazwinski, Andrew H},
	year = {1970},
	note = {OCLC: 466443742}
}
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