Filtering theory for stochastic processes with two dimensional time parameter

DOI10.1016/0378-4754(80)90048-8zbMath0462.93038OpenAlexW2029409287MaRDI QIDQ1153066

Pao-Liu Chow, Alain Bensoussan, Jacques Louis Lions

Publication date: 1980

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0378-4754(80)90048-8

zbMATH Keywords

quadratic control problemGaussian random fieldcylindrical measure

Mathematics Subject Classification ID

Random fields (60G60) Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10)

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On the regularization of solution of an inverse ultraparabolic equation associated with perturbed final data, Optimization problems in partially ordered Hilbert resolution spaces†

Cites Work

• Stochastic integrals in the plane
• Recursive causal linear filtering for two-dimensional random fields
• Martingales and stochastic integrals for processes with a multi-dimensional parameter
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