Continuité par rapport a la trajectoire de l'observation du filtre assoclé a des systemes corrélés a coefficients de l'observation non bornés

DOI10.1080/17442508908833582zbMath0694.60037OpenAlexW1985387755MaRDI QIDQ3469969

Patrick Florchinger

Publication date: 1989

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508908833582

zbMATH Keywords

stochastic differential equationunbounded coefficientsfiltering problemKallianpur-Striebel formula

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (4)

Malliavin calculus with time dependent coefficients and application to nonlinear filtering ⋮ Continuity of the Filter with Unbounded Observation Coefficients ⋮ A continuity property for the filter associated to Hilbert-space valued systems ⋮ Zakai equation of nonlinear filtering with unbounded coefficients. The case of dependent noises

Cites Work

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• Robust filtering for correlated multidimensional observations
• Diffusions conditionnelles. I. Hypoellipticité partielle
• On the gap between deterministic and stochastic ordinary differential equations
• Robustesse de la solution des problemes de filtrage avec bruit blanc independant^†
• Optimal Control and Nonlinear Filtering for Nondegenerate Diffusion Processes

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