Nonlinear Filtering and Stochastic Control: Proceedings of the 3rd 1981 Session of the Centro Internazionale Matematico Estivo (C.I.M.E.), Held at Cortona, July 1-10, 1981 |
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Contents
PREFACE By S K MITTER A MORO | 1 |
References for Part I | 39 |
B GRIGELIONIS Stochastic Non Linear Filtering Equations and Semimartingales | 63 |
Copyright | |
8 other sections not shown
Common terms and phrases
adapted apply approach approximation assume assumptions backward bounded called Chapter coefficients compute condition consider constant continuous convergence corresponding defined definition denote density derivatives diffusion Edited estimate example exists expectation fact filtering problem finite finite-dimensional fixed formula function give given hand Hence holds ideas implies independent initial condition integral introduce Itô's Lemma Lie algebra linear filtering martingale Math matrix means measure method non-linear filtering observation obtain operators optimal partial differential equation positive probability problem Proceedings Proof prove random Remark representation respect result robust satisfies semimartingale smooth solution space standard stochastic control stochastic differential equation stochastic partial differential Stratonovich Suppose term Theorem Theory transformation unique values variables vector Wiener process Zakai equation
Bibliographic information
| Title | Nonlinear Filtering and Stochastic Control: Proceedings of the 3rd 1981 Session of the Centro Internazionale Matematico Estivo (C.I.M.E.), Held at Cortona, July 1-10, 1981 CIME Foundation subseries Centro Internazionale Matematico Estivo: Session Issue 972 of Lecture notes in mathematics, ISSN 0075-8434 Proceedings of the ... session of the Centro Internazionale Matematico Estivo Proceedings of the ... session of the Centro Internazionale Matematico Estivo: Centro Internazionale Matematico Estivo |
| Author | Centro internazionale matematico estivo |
| Editors | Sanjoy K. Mitter, Antonio Moro |
| Contributor | Centro Internazionale Matematico Estivo. Session |
| Publisher | Springer-Verlag, 1982 |
| Original from | the University of California |
| Digitized | Jan 13, 2011 |
| ISBN | 0387119760, 9780387119762 |
| Length | 297 pages |
| Subjects | › Mathematics / General |
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