Stochastic equations for linear random functionals and statistical problems

DOI10.1007/S00028-006-0250-2zbMATH Open1110.60037OpenAlexW1970419540MaRDI QIDQ862249FDOQ862249

Alain Bensoussan

Publication date: 24 January 2007

Published in: Journal of Evolution Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00028-006-0250-2

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zbMATH Keywords

Kalman filteringevolution equationsGalerkin methodstochastic integrals

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Generalized stochastic processes (60G20) Martingales with continuous parameter (60G44) Measure (Gaussian, cylindrical, etc.) and integrals (Feynman, path, Fresnel, etc.) on manifolds (46T12)

Cited In (10)

• Random linear functionals arising in stochastic integration
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• On the Statistical Treatment of Linear Stochastic Difference Equations
• Linear stochastic equations in the critical case
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• Stochastic analysis and one minimization problem

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