Teoriâ veroâtnostej i ee primeneniâ, Tome 25 (1980) no. 2, pp. 399-407
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L. G. Vetrov. On linearization of stochastic differential equations of optimal. Teoriâ veroâtnostej i ee primeneniâ, Tome 25 (1980) no. 2, pp. 399-407. http://geodesic.mathdoc.fr/item/TVP_1980_25_2_a18/
@article{TVP_1980_25_2_a18,
author = {L. G. Vetrov},
title = {On linearization of stochastic differential equations of optimal},
journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
pages = {399--407},
year = {1980},
volume = {25},
number = {2},
language = {ru},
url = {http://geodesic.mathdoc.fr/item/TVP_1980_25_2_a18/}
}
TY - JOUR
AU - L. G. Vetrov
TI - On linearization of stochastic differential equations of optimal
JO - Teoriâ veroâtnostej i ee primeneniâ
PY - 1980
SP - 399
EP - 407
VL - 25
IS - 2
UR - http://geodesic.mathdoc.fr/item/TVP_1980_25_2_a18/
LA - ru
ID - TVP_1980_25_2_a18
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%T On linearization of stochastic differential equations of optimal
%J Teoriâ veroâtnostej i ee primeneniâ
%D 1980
%P 399-407
%V 25
%N 2
%U http://geodesic.mathdoc.fr/item/TVP_1980_25_2_a18/
%G ru
%F TVP_1980_25_2_a18
Some questions related to the general equations of optimal non-linear filtering may be answered by reducing this equations to the linearized ones. We obtain such linearized equations for the case when the observed process is a semimartingale.
