Stochastic equations for linear random functionals and statistical problems (Q862249)
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scientific article; zbMATH DE number 5118020
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic equations for linear random functionals and statistical problems |
scientific article; zbMATH DE number 5118020 |
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Stochastic equations for linear random functionals and statistical problems (English)
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24 January 2007
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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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stochastic integrals
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evolution equations
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Kalman filtering
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Galerkin method
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0.9287525
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0.9245251
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