Some recent developments in nonlinear filtering theory
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.
KeywordsStochastic Differential Equation Wiener Process Stochastic Partial Differential Equation Martingale Problem Zakai Equation
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