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Some recent developments in nonlinear filtering theory

In: Itô’s Stochastic Calculus and Probability Theory

Author

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  • G. Kallianpur

    (University of North Carolina at Chapel Hill, Center for Stochastic Processes)

Abstract

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.

Suggested Citation

  • G. Kallianpur, 1996. "Some recent developments in nonlinear filtering theory," Springer Books, in: Nobuyuki Ikeda & Shinzo Watanabe & Masatoshi Fukushima & Hiroshi Kunita (ed.), Itô’s Stochastic Calculus and Probability Theory, pages 157-170, Springer.
    • Handle: RePEc:spr:sprchp:978-4-431-68532-6_10
    DOI: 10.1007/978-4-431-68532-6_10
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