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A variational problem related to an optimal filter problem with self- correlated noise. (English) Zbl 0182.43903

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[1] N. Wiener, Extrapolation, interpolation and smoothing of stationary time series, Wiley, New York, 1950.
[2] Leonard D. Berkovitz and Harry Pollard, A non-classical variational problem arising from an optimal filter problem, Arch. Rational Mech. Anal. 26 (1967), 281 – 304. · Zbl 0149.32804 · doi:10.1007/BF00281660 · doi.org
[3] Walter Rudin, Real and complex analysis, McGraw-Hill Book Co., New York-Toronto, Ont.-London, 1966. · Zbl 0142.01701
[4] Naum I. Akhiezer, The calculus of variations, Translated from the Russian by Aline H. Frink. A Blaisdell Book in the pure and Applied Sciences, Blaisdell Publishing Co. (A Division of Random House, Inc.), New York-London, 1962.
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