Nonlinear filtering equations for two-parameter semimartingales

DOI10.1016/0304-4149(83)90035-2zbMath0516.60061OpenAlexW1999851152MaRDI QIDQ1052745

J. Szpirglas, Gerald Mazziotto, Hayri Korezlioglu

Publication date: 1983

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(83)90035-2

zbMATH Keywords

Girsanov transformation

Mathematics Subject Classification ID

Random fields (60G60) Filtering in stochastic control theory (93E11) Prediction theory (aspects of stochastic processes) (60G25)

Related Items (2)

A bidimensional approach to mortality risk ⋮ Stochastic evolution equations for nonlinear filtering of random fields in the presence of fractional Brownian sheet observation noise

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Stochastic integrals in the plane
• Weak martingales and stochastic integrals in the plane
• Differentiation formulas for stochastic integrals in the plane
• The sample function continuity of stochastic integrals in the plane
• An extension of stochastic integrals in the plane
• Nonanticipative transformations of the two-parameter Wiener process and a Girsanov theorem
• Stochastic differential equations for the non linear filtering problem
• Changes of filtrations and of probability measures
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
• Équations du filtrage pour un processus de poisson mélangé á deux indices
• Recursive filtering for two-dimensional random fields (Corresp.)
• Likelihood ratios and transformation of probability associated with two-parameter Wiener processes
• [https://portal.mardi4nfdi.de/wiki/Publication:4148564 R�gions d'arr�t, localisations et prolongements de martingales]
• One-sided recursive filters for two-dimensional random fields (Corresp.)
• Recursive causal linear filtering for two-dimensional random fields
• [https://portal.mardi4nfdi.de/wiki/Publication:4155579 Sur l'int�grabilit� uniforme des martingales exponentielles]
• Martingales and stochastic integrals for processes with a multi-dimensional parameter
• On the optimal filtering of diffusion processes

This page was built for publication: Nonlinear filtering equations for two-parameter semimartingales