Robustness of the nonlinear filter

DOI10.1016/S0304-4149(98)00106-9zbMath0963.60039OpenAlexW2109113523MaRDI QIDQ1593635

Rajeeva L. Karandikar, Abhay G. Bhatt, Gopinath Kallianpur

Publication date: 17 January 2001

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

Full work available at URL: https://doi.org/10.1016/s0304-4149(98)00106-9

zbMATH Keywords

robustnessnonlinear filtering

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Martingales with continuous parameter (60G44) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (9)

Nonlinear filtering for stochastic systems with fixed delay: approximation by a modified Milstein scheme ⋮ Model robustness of finite state nonlinear filtering over the infinite time horizon ⋮ A PROBLEM IN STOCHASTIC AVERAGING OF NONLINEAR FILTERS ⋮ Robustness of the nonlinear filter: the correlated case. ⋮ Continuous time random walks and queues: explicit forms and approximations of the conditional law with respect to local times ⋮ Robust parameter estimation for stochastic differential equations ⋮ Path continuity of the nonlinear filter ⋮ Limit theorems of SDEs driven by Lévy processes and application to nonlinear filtering problems ⋮ Markov chain approximations to filtering equations for reflecting diffusion processes.

Cites Work

• Convergence in distribution of conditional expectations
• Uniqueness and robustness of solution of measure-valued equations of nonlinear filtering
• Convergence of filters with applications to the Kalman-Bucy case
• Limits of conditional expectations
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