Stochastic Processes and Filters
Stationary processes. Stochastic integral. Ergodic theorems. Brownian motion. White noise. Martingals. Stopping times. Stochastic diffusion. Stochastic calculus. Ito s integral. Deterministic and stochastic dynamic systems. Prediction and filtering. Wiener filter. Kalman filter. Optimal smoothers. Nonlinear filtering.
Postgraduate doctoral study programme
(.), Moohinder S. Grewal., Angus P. Andrews: Kalman filtering (theory and practice using MATLAB),
(.), A. Papoulis: Probability, random variables and stochastic processes, McGraw-Hill, Third Edition,
(.), F. Beichelt: Stochastic Processes in Science, Engineering and Finance, Chapman & Hall, 2006.,