Stochastic equations for linear random functionals and statistical problems

DOI10.1007/S00028-006-0250-2MaRDI QIDQ862249zbMATH OpenOpenAlexFDO

Authors 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

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)

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