Abstract
We present a short survey of some very recent results on the finitely additive white noise theory. We discuss the Markov property of the solution of a stochastic differential equation driven directly by a white noise, study the Radon-Nikodym derivative of the measure induced by nonlinear transformation on a Hilbert space with respect to the canonical Gauss measure thereon and obtain a representation for nonlinear filter maps.
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Bagchi, A., Mazumdar, R. Some recent results in finitely additive white noise theory. Acta Appl Math 35, 27–47 (1994). https://doi.org/10.1007/BF00994910
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DOI: https://doi.org/10.1007/BF00994910