Stochastic regularization of linear equations and the realization of Gaussian fields

DOI10.1016/0047-259X(90)90010-FMaRDI QIDQ915262zbMATH OpenOpenAlexFDO

Authors Mauro Piccioni, Massimo Roma

Publication date 1990

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0047-259x(90)90010-f

zbMATH Keywords

conditional expectationcovariance operatorfilteringGaussian random field

Mathematics Subject Classification ID

Gaussian processes (60G15) Generalized stochastic processes (60G20) Signal detection and filtering (aspects of stochastic processes) (60G35) Filtering in stochastic control theory (93E11)

Review text

The authors consider a Gaussian random field X with covariance operator on a Hilbert space. With some Hilbert-Schmidt assumptions they show that the conditional expectation of X given observations Y of X corrupted by independent white Gaussian noise can be realized on sample configurations of Y. They use a variational method to describe the conditional expectation.

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Cites work

• scientific article; zbMATH DE number 4091397 (Why is no real title available?)
• scientific article; zbMATH DE number 3719758 (Why is no real title available?)
• scientific article; zbMATH DE number 48231 (Why is no real title available?)
• scientific article; zbMATH DE number 3497161 (Why is no real title available?)
• scientific article; zbMATH DE number 3220706 (Why is no real title available?)
• Well-posed stochastic extensions of ill-posed linear problems
• White noise calculus and nonlinear filtering theory

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(2)

• Small perturbations of Gaussian regressors
• Characterization of the second order random fields subject to linear distributional PDE constraints

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