Nonlinear filtering and stochastic analysis

非线性滤波和随机分析

• 批准号: 311945-2008
• 负责人: Sun, Wei
• 金额: $ 1.46万
• 依托单位: Concordia University
• 依托单位国家: 加拿大
• 项目类别: Discovery Grants Program - Individual
• 财政年份: 2009
• 资助国家: 加拿大
• 起止时间: 2009-01-01 至 2010-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=427958
• 关键词: Nonlinear; filtering; stochastic; analysis

Stochastic filtering is concerned with estimating the conditional probability distribution of a signal through a sequence of partial and noisy observations of the signal. The filtering theory has generated a great deal of interest in recent years as it has found important applications in many areas of scientific research. Such areas include target detection and tracking, pollution tracking, communication networks, mathematical finance and quantum informational technologies, etc. This proposed research program is devoted to performing theoretical research in nonlinear filtering and related stochastic analysis.

随机滤波是通过对信号的一系列局部和有噪声的观测来估计信号的条件概率分布。过滤理论近年来引起了人们的极大兴趣，因为它在许多科学研究领域得到了重要的应用。这些领域包括目标检测与跟踪、污染跟踪、通信网络、数学金融和量子信息技术等。本课题主要从事非线性滤波及相关随机分析的理论研究。