Mathematics of Kalman-Bucy filtering. (Q1210735)

[For a review of the first edition (Springer 1985) see Zbl 0556.93067.] The book deals with an introductory, but mathematically rigorous treatment of the Kalman-Bucy filter, namely the filter relative to a continuous-time linear stochastic system. A large portion of the book is devoted to building up all the mathematical machinery that will be needed for the solution of the given filtering problem. The book is organized as follows. In Chapter 1 all the basic concepts about probability spaces, random variables and vectors, stochastic processes and Hilbert spaces are briefly summarized and discussed. Chapter 2 provides a very detailed account of mean square calculus, with particular emphasis on stochastic integration. Since the book deals only with linear problems, only short comments and references are given regarding Ito results and sample calculus. In Chapter 3 the model of the linear stochastic dynamical system is discussed and results on the uniqueness and existence of mean square solutions of the corresponding stochastic differential equations are derived. Finally, in Chapter 4 the equations of the Kalman-Bucy filter are obtained. Despite its mathematical character, the book provides also some comments on the usefulness of the filter in practical situations. In particular a discussion on white noise system representation is given in Chapter 3 and comments on vanishing observation noise can be found in the final Chapter 5. The book contains also some exercises with selected solutions.