Some recent results in finitely additive white noise theory

Arunabha Bagchi; Ravi Mazumdar

doi:10.1007/BF00994910

Some recent results in finitely additive white noise theory

Arunabha Bagchi
, Ravi Mazumdar

Research output: Contribution to journal › Article › Academic › peer-review

2 Citations (Scopus)

217 Downloads (Pure)

Abstract

We present a short survey of some very recent results on the finitely additive white noise theory. We discuss the Markov property of the solution of a stochastic differential equation driven directly by a white noise, study the Radon-Nikodym derivative of the measure induced by nonlinear transformation on a Hilbert space with respect to the canonical Gauss measure thereon and obtain a representation for nonlinear filter maps.

Original language	Undefined
Pages (from-to)	27-47
Number of pages	21
Journal	Acta applicandae mathematicae
Volume	35
Issue number	1-2
DOIs	https://doi.org/10.1007/BF00994910
Publication status	Published - 1994

Keywords

Finitely additive white noise
Nonlinear filter
Radon-Nikodym derivative
METIS-140873
Markov property
60H10
93E11
IR-85783

Access to Document

10.1007/BF00994910

Bagchi_10.1007_BF00994910

Cite this

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