Stochastic differential systems. I: Filtering and control. A function space approach

Signal detection and filtering (aspects of stochastic processes) (60G35) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic processes (60Gxx) Stochastic systems and control (93Exx)

Cited in

(22)

Bounded rationality in learning, perception, decision-making, and stochastic games
On the separation principle with bounded controls
Boundedness and asymptotic Behaviour of Solutions of some second-order nonlinear stochastic differential equations with delay
Parameter estimation in linear filtering
Joint online parameter estimation and optimal sensor placement for the partially observed stochastic advection-diffusion equation
Statistical analysis of the mixed fractional Ornstein-Uhlenbeck process
Convergence results for continuous-time adaptive stochastic filtering algorithms
On the saddle-point solution of a class of stochastic differential games
Stochastic optimization theory in Hilbert spaces. I
Asymptotic behaviour of solutions of some second-order nonlinear differential equations
Continuous time systems identification with unknown noise covariance
On Radon-Nikodym derivatives of finitely-additive measures induced by nonlinear transformations on hilbert space
Parameter estimation for continuous-time models - a survey
Role of information in the stochastic zero-sum differential game
Convergence of continuous-time partitioned adaptive state estimators
Positive semigroups of operators and applications: Editors' introduction
A minimax property of the Kalman filter
Parameter estimation for point processes with partial observations: A filtering approach
Two-timescale stochastic gradient descent in continuous time with applications to joint online parameter estimation and optimal sensor placement
A note on the structure of optimal stochastic controls
On linear-quadratic Gaussian continuous-time Nash games
Vector topologies and the representation of spaces of random variables

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