Placeholder. A time-indexed, causal, measure-valued stochastic process. As seen in state filters, optimal control, financial mathematics etc.
Useful tools: infinitesimal generators, martingales.
One difficulty in this field is that many references take SDEs to be synonymous with Itō processes, whose driving noise is Brownian. In full generality, e.g. (Kallenberg 2002) they are a lot more general than that.
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