By Philip Ernst and others

Consider the motion of a Brownian particle in three dimensions, whose two spatial coordinates are standard Brownian motions with zero drift, and the remaining (unknown) spatial coordinate is a standard Brownian motion with a non-zero drift. Given that the position of the Brownian particle is being observed in real time,... Show more

December 18, 2018

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Optimal real-time detection of a drifting Brownian coordinate

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