Ito's lemma in infinite dimensions

DOI10.1016/0022-247X(70)90037-5zbMath0233.60051WikidataQ124877896 ScholiaQ124877896MaRDI QIDQ2551293

Peter L. Falb, Ruth F. Curtain

Publication date: 1970

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Mathematics Subject Classification ID

Stochastic integrals (60H05)

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Cites Work

• Abstract martingale convergence theorems
• Infinite-dimensional filtering: The Kalman\3-Bucy filter in Hilbert space
• A robust LQG-controller design for DPS
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