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Stochastic filtering theory. (English) Zbl 0458.60001
Applications of Mathematics, 13. New York - Heidelberg - Berlin: Springer-Verlag. XVI, 316 p. DM 59.50; $ 35.10 (1980).

MSC:
60-02 Research exposition (monographs, survey articles) pertaining to probability theory
60G35 Signal detection and filtering (aspects of stochastic processes)
62M20 Inference from stochastic processes and prediction
93E11 Filtering in stochastic control theory
60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
60J60 Diffusion processes
60G44 Martingales with continuous parameter