Stochastic Calculus, Filtering, and Stochastic Control.¶
van Handel, R. Stochastic Calculus, Filtering, and Stochastic Control.
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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.
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Registry ID ref:ad33ed9bf699 · see in the full table