A maximum a posteriori estimator for trajectories of diffusion processes

DOI10.1080/17442508708833444zbMath0612.60041OpenAlexW2067581998MaRDI QIDQ5903363

Ofer Zeitouni, Amir Dembo

Publication date: 1987

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508708833444

zbMATH Keywords

Girsanov theoremnonlinear filtering theoryKallianpur-Striebel formulamaximum a posteriori trajectory of the signal

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

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Cites Work

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• An introduction to nonlinear boundary value problems
• Maximum-likelihood recursive nonlinear filtering
• Existence, uniqueness, and asymptotic behavior of solutions to a class of Zakai equations with unbounded coefficients
• Mean stochastic comparison of diffusions
• An existence theorem and some properties of maximum a posteriori estimators of trajectories of diffusions
• On the optimal filtering of diffusion processes

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