A Martingale Approach to Continuous-Time Linear Smoothing

DOI10.1137/0128023MaRDI QIDQ3213591zbMATH OpenOpenAlexFDO

Authors Arunabha Bagchi

Publication date 1975

Published in SIAM Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/0128023

Mathematics Subject Classification ID

Approximation by other special function classes (41A30)

Cited in

(2)

• A martingale approach to state estimation in delay-differential systems
• A new martingale approach to Kalman filtering

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