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

evolution equationsGalerkin methodKalman filteringstochastic integrals

Mathematics Subject Classification ID

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

Review text

Stochastic differential equations in infinite-dimensional spaces are studied and applied to the filtering problem. With this purpose the notion of linear random functionals is recalled and a generalization of the stochastic integral with respect to the cylindrical Wiener process is developed. Then the existence of a solution of stochastic linear and nonlinear evolution equations in infinite-dimensional spaces by the Galerkin and the fixed point methods is studied.

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