Abstract
Having introduced the concept of a stochastic process in Sect. 1.4, some elements of calculus in mean square, or m.s. calculus, are discussed in this chapter to the extent required for Chap. 3. Since the class of stochastic processes to be considered contains real functions as a special case, some of this development is also applicable to ordinary real functions.
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References
M. Loéve: Probability Theory (Van Nostrand, New York 1963)
T. T. Soong: Random Differential Equations in Science and Engineering (Academic, New York 1973)
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© 1985 Springer-Verlag Berlin Heidelberg
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Ruymgaart, P.A., Soong, T.T. (1985). Calculus in Mean Square. In: Mathematics of Kalman-Bucy Filtering. Springer Series in Information Sciences, vol 14. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-96842-6_2
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DOI: https://doi.org/10.1007/978-3-642-96842-6_2
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-96844-0
Online ISBN: 978-3-642-96842-6
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