The Geometry of Filtering by K. David Elworthy
English | PDF | 2010 | 179 Pages | ISBN : 3034601751 | 3.23 MB
Filtering is the science of nding the law of a process given a partial observation of it. The main objects we study here are di usion processes. These are naturally associated with second-order linear di erential operators which are semi-elliptic and so introduce a possibly degenerate Riemannian structure on the state space.