Uniqueness and robustness of solution of measure-valued equations of nonlinear filtering

DOI10.1214/AOP/1176987808zbMath0861.60051OpenAlexW2025416790MaRDI QIDQ1917208

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

Publication date: 22 April 1997

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1176987808

zbMATH Keywords

robustnessnonlinear filteringmartingale problemZakai equation

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Martingales with continuous parameter (60G44) Random measures (60G57)

Related Items (14)

On uniqueness of solutions for the stochastic differential equations of nonlinear filtering ⋮ Linear filtering with Ornstein-Uhlenbeck process as noise ⋮ AN ESTIMATE OF THE APPROXIMATION ERROR IN THE FILTERING OF A DISCRETE JUMP PROCESS ⋮ Nonlinear Filtering of Stochastic Navier-Stokes Equation with Itô-Lévy Noise ⋮ Kolmogorov equations on spaces of measures associated to nonlinear filtering processes ⋮ 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. ⋮ Robust parameter estimation for stochastic differential equations ⋮ Nonlinear Filtering with Fractional Brownian Motion Noise ⋮ Nonlinear Filtering for Markov Systems with Delayed Observations ⋮ Limit theorems of SDEs driven by Lévy processes and application to nonlinear filtering problems ⋮ Nonlinear filtering of semi-Dirichlet processes ⋮ Robustness of the nonlinear filter

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