Estimation and control for linear, partially observable systems with non-gaussian initial distribution

New Results in Linear Filtering and Prediction Theory

R. E. Kalman, R. S. Bucy · Journal of Basic Engineering · 1961 · 6.3K citations

Natural Sciences, Mathematics, Dynamical Systems +16

Partial differential equations of parabolic type

John S. Maybee · Journal of the Franklin Institute · 1965 · 3.3K citations

Natural Sciences, Mathematics, Differential Equations +11

On the uniqueness of solutions of stochastic differential equations

Shinzo Watanabe · Kyoto journal of mathematics · 1971 · 868 citations · Full text

Engineering, Mathematics, Differential Equations +14

On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures

Igor Vladimirovich Girsanov · Theory of Probability and Its Applications · 1960 · 732 citations

Engineering, Mathematics, Probability Theory +14

Stochastic partial differential equations and filtering of diffusion processes

E. Pardouxt · Stochastics · 1980 · 596 citations

Engineering, Mathematics, Probability Theory +13