The stochastic filtering problem: a brief historical account

DOI10.1239/jap/1417528463zbMath1325.60057OpenAlexW2070395359MaRDI QIDQ5245610

Dan Crisan

Publication date: 14 April 2015

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1417528463

zbMATH Keywords

stochastic partial differential equationsWiener filterKalman-Bucy filterstochastic filtering problem

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) History of mathematics in the 20th century (01A60) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) History of probability theory (60-03)

Related Items (1)

Linearized filtering of affine processes using stochastic Riccati equations

Cites Work

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