Stochastic equations for linear random functionals and statistical problems

DOI10.1007/S00028-006-0250-2zbMath1110.60037OpenAlexW1970419540MaRDI QIDQ862249

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

Galerkin methodevolution equationsKalman filteringstochastic integrals

Mathematics Subject Classification ID

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

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