Publication:3908216
From MaRDI portal
zbMath0458.60001MaRDI QIDQ3908216
Publication date: 1980
Ito formula; multiple Wiener integrals; Ito calculus; Cameron-Martin-Girsanov result; functionals of Wiener process; Kalman-Bucy theory; weak solutions of stochastic differential equations
62M20: Inference from stochastic processes and prediction
93E11: Filtering in stochastic control theory
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60G35: Signal detection and filtering (aspects of stochastic processes)
60G44: Martingales with continuous parameter
60J60: Diffusion processes
60-02: Research exposition (monographs, survey articles) pertaining to probability theory
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