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The stochastic filtering problem: a brief historical account
Published online by Cambridge University Press: 30 March 2016
Abstract
Onwards from the mid-twentieth century, the stochastic filtering problem has caught the attention of thousands of mathematicians, engineers, statisticians, and computer scientists. Its applications span the whole spectrum of human endeavour, including satellite tracking, credit risk estimation, human genome analysis, and speech recognition. Stochastic filtering has engendered a surprising number of mathematical techniques for its treatment and has played an important role in the development of new research areas, including stochastic partial differential equations, stochastic geometry, rough paths theory, and Malliavin calculus. It also spearheaded research in areas of classical mathematics, such as Lie algebras, control theory, and information theory. The aim of this paper is to give a brief historical account of the subject concentrating on the continuous-time framework.
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- Part 2. The 2014 AP lectures
- Information
- Journal of Applied Probability , Volume 51 , Issue A: Celebrating 50 Years of The Applied Probability Trust , December 2014 , pp. 13 - 22
- Copyright
- Copyright © Applied Probability Trust 2014
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