On a robust version of the integral representation formula of nonlinear filtering

DOI10.1007/S00440-004-0412-5zbMath1079.60041OpenAlexW2038739117MaRDI QIDQ2570833

Yanyan Li

Publication date: 28 October 2005

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00440-004-0412-5

zbMATH Keywords

robustnessdiffusion processescontinuous time Markov chains

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Nonlinear systems in control theory (93C10) Signal detection and filtering (aspects of stochastic processes) (60G35) Continuous-time Markov processes on discrete state spaces (60J27)

Related Items (14)

Pathwise Approximations for the Solution of the Non-Linear Filtering Problem ⋮ Robust filtering: correlated noise and multidimensional observation ⋮ Book Review: Fundamentals of stochastic filtering ⋮ Mortensen observer for a class of variational inequalities – lost equivalence with stochastic filtering approaches ⋮ Rough McKean-Vlasov dynamics for robust ensemble Kalman filtering ⋮ The Filtering Equations Revisited ⋮ A Particle Filter for Stochastic Advection by Lie Transport: A Case Study for the Damped and Forced Incompressible Two-Dimensional Euler Equation ⋮ McKean--Vlasov SDEs in Nonlinear Filtering ⋮ Kusuoka-Stroock gradient bounds for the solution of the filtering equation ⋮ Approximate McKean–Vlasov representations for a class of SPDEs ⋮ Linearized filtering of affine processes using stochastic Riccati equations ⋮ Interactive statistical mechanics and nonlinear filtering ⋮ Optimal consumption and investment under partial information ⋮ Numerical solution for a class of SPDEs over bounded domains

Cites Work

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• Differential equations driven by rough signals
• Robustness and convergence of approximations to nonlinear filters for jump-diffusions
• Dynamical equations for optimal nonlinear filtering
• Pathwise Nonlinear Filtering for Nondegenerate Diffusions with Noise Correlation
• A robust discrete state approximation to the optimal nonlinear filter for a diffusiont
• Some Applications of Stochastic Differential Equations to Optimal Nonlinear Filtering
• On the optimal filtering of diffusion processes
• Estimation of Stochastic Systems: Arbitrary System Process with Additive White Noise Observation Errors

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