A class of filter problems. II: Solution for absolutely continuous kernels

DOI10.1007/BF00935278zbMath0464.93079MaRDI QIDQ1154433

Leonard D. Berkovitz

Publication date: 1982

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

zbMATH Keywords

variational problemsautocorrelation functionrenewal equationsolutions with compact support

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Filtering in stochastic control theory (93E11)

Cites Work

• A class of filter problems. I: Existence Theory
• A non-classical variational problem arising from an optimal filter problem
• A non-classical variational problem arising from an optimal filter problem. II
• A Note on the Littlewood Three-Derivates Theorem
• A Variational Problem Related to an Optimal Filter Problem with Self-Correlated Noise
• Addenda to "A Variational Problem Related to an Optimal Filter Problem with Self-Correlated Noise"

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