Some recent developments in nonlinear filtering theory

  • G. Kallianpur


One of Professor Norbert Wiener’s beloved projects in his later years was to develop a theory of nonlinear prediction. It was Professor Kiyosi Itô’s discovery of stochastic calculus (now subsumed under the more inclusive title of stochastic analysis) that made such a development possible. This is not the place to describe in detail Professor Itô’s continuing contributions to the subject he helped to create. However, one incident which illustrates his eagerness to explore and assimilate new ideas stands out in my mind.


Stochastic Differential Equation Wiener Process Stochastic Partial Differential Equation Martingale Problem Zakai Equation 


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Copyright information

© Springer-Verlag Tokyo 1996

Authors and Affiliations

  • G. Kallianpur
    • 1
  1. 1.Center for Stochastic ProcessesUniversity of North Carolina at Chapel HillChapel HillUSA

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