Stochastic Calculus, Filtering, and Stochastic Control.¶
Handel, R. v. Stochastic Calculus, Filtering, and Stochastic Control.
Cited by¶
1 citation across 1 artifact.
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Domain-specific¶
- Kushner–Stratonovich Equation
- The standard whitening map `d\bar I_t=R_t^{-1/2}dI_t` produces a Wiener process relative to the observation filtration, while the displayed weak equation retains the `R_t^{-1}` covariance gain.
This sourceGives the normalized weak equation, innovation Wiener result, density form, and Kalman–Bucy closure boundary.
- The standard whitening map `d\bar I_t=R_t^{-1/2}dI_t` produces a Wiener process relative to the observation filtration, while the displayed weak equation retains the `R_t^{-1}` covariance gain.
Verification¶
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Registry ID ref:3b43d71f2e45 · see in the full table