The reproducing kernel Hilbert spaces underlying linear SDE Estimation, Kalman filtering and their relation to optimal control

arXiv2208.07030MaRDI QIDQ6407858

Alain Bensoussan, Pierre-Cyril Aubin-Frankowski

Publication date: 15 August 2022

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Hilbert spaces with reproducing kernels (= (proper) functional Hilbert spaces, including de Branges-Rovnyak and other structured spaces) (46E22) Continuity and singularity of induced measures (60G30)

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