Imperial College London
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ProfessorDanCrisan

Faculty of Natural Sciences, Department of Mathematics

Professor of Mathematics
 
 
 
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Contact

 

+44 (0)20 7594 8489d.crisan Website

 
 
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Location

 

670Huxley BuildingSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@inproceedings{Crisan:2014:jap/1417528463,
author = {Crisan, D},
doi = {jap/1417528463},
pages = {13--22},
title = {The stochastic filtering problem: A brief historical account},
url = {http://dx.doi.org/10.1239/jap/1417528463},
year = {2014}
}
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RIS format (EndNote, RefMan)

TY  - CPAPER
AB  - 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.
AU  - Crisan,D
DO  - jap/1417528463
EP  - 22
PY  - 2014///
SN  - 0021-9002
SP  - 13
TI  - The stochastic filtering problem: A brief historical account
UR  - http://dx.doi.org/10.1239/jap/1417528463
ER  -
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