Skip to main content

Continuous Filtering Problem for Itô-Mcshane Stochastic Differential Equation

  • Chapter
  • 307 Accesses

Abstract

In this paper we present a continuous filtering problem for Itô-McShane stochastic differential equation. The concept of Itô-McShane integral has been introduced by the second mentioned author in [3], The basic motivation for this concept is to present a sort of an unified theory of Stochastic integration [2], [3].

This is a preview of subscription content, log in via an institution.

Buying options

Chapter
USD   29.95
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
eBook
USD   84.99
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book
USD   109.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Learn about institutional subscriptions

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  1. R. S. Bucy: Nonlinear Filtering Theory. IEEE Trans. Automatic Control 10 (1965), 198–201.

    Article  Google Scholar 

  2. K. Itô: Stochastic Integration. Nagoya Math. Journal 3 (1951), 212–231.

    Google Scholar 

  3. E. J. McShane: Sťochastic Integration. Vector and Operator valued measures and Application. Academic Press, New York 1973, 247–281.

    Google Scholar 

  4. E. J. McShane: Stochastic integrals and Stochastic functional equations. SIAM Journal Appl. Math. 17 (1969), 287–306.

    MathSciNet  MATH  Google Scholar 

  5. R. E. Mortensen: Optimal Control of Continuous-Time Stochastic System. Ph. D. thesis, Univ. of California, Berkeley, California, 1966.

    Google Scholar 

  6. Z. Z. Pop-Stojanovic: On McShane’s belated Stochastic integral. SIAM J. Appl. Math. 22 (1972), 1, 87–92.

    MathSciNet  MATH  Google Scholar 

Download references

Author information

Authors and Affiliations

Authors

Editor information

J. Kožešnik

Rights and permissions

Reprints and permissions

Copyright information

© 1977 ACADEMIA, Publishing House of the Czechoslovak Academy of Sciences, Prague

About this chapter

Cite this chapter

Pop-Stojanovic, Z.R. (1977). Continuous Filtering Problem for Itô-Mcshane Stochastic Differential Equation. In: Kožešnik, J. (eds) Transactions of the Seventh Prague Conference on Information Theory, Statistical Decision Functions, Random Processes and of the 1974 European Meeting of Statisticians. Transactions of the Seventh Prague Conference on Information Theory, Statistical Decision Functions, Random Processes and of the 1974 European Meeting of Statisticians, vol 7A. Springer, Dordrecht. https://doi.org/10.1007/978-94-010-9910-3_49

Download citation

  • DOI: https://doi.org/10.1007/978-94-010-9910-3_49

  • Publisher Name: Springer, Dordrecht

  • Print ISBN: 978-94-010-9912-7

  • Online ISBN: 978-94-010-9910-3

  • eBook Packages: Springer Book Archive

Publish with us

Policies and ethics