Measure-valued equations for the optimum filter in finitely additive nonlinear filtering theory

DOI10.1007/BF00532792zbMath0592.93060OpenAlexW2045081852MaRDI QIDQ3722392

Rajeeva L. Karandikar, Gopinath Kallianpur

Publication date: 1984

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00532792

zbMATH Keywords

nonlinear filteringwhite noise processcylinder measures

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Nonlinear systems in control theory (93C10) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Probabilistic measure theory (60A10) Multiplicative functionals and Markov processes (60J57)

Related Items (7)

Evolution equations for Markov processes: Application to the white-noise theory of filtering ⋮ On the Feynman-Kac formula and its applications to filtering theory ⋮ Robustness of estimators in a finitely additive white noise model ⋮ Stochastic integration for operator valued processes on hilbert spaces and on nuclear spaces ⋮ The stochastic filtering problem: a brief historical account ⋮ Some recent developments in nonlinear filtering theory ⋮ The nonlinear filtering problem for the unbounded case

Cites Work

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• A finitely additive white noise approach to nonlinear filtering
• Stochastic differential equations for the non linear filtering problem
• Tensor Algebras Over Hilbert Spaces. I
• Stochastic partial differential equations and filtering of diffusion processes
• On the optimal filtering of diffusion processes
• Measurable Functions on Hilbert Space
• Stochastic evolution equations

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