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

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

Cited in

(22)

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

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